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econ.TH2025
Risk-insurance parity
Benjamin Côté, Ruodu Wang, Qinyu Wu
Risk aversion and insurance are two prominent and interconnected concepts in economics and finance. To explore their fundamental connection, we introduce risk-insurance parity, whi…
q-fin.MF2025
Higher-order Gini indices: An axiomatic approach
Xia Han, Ruodu Wang, Qinyu Wu
Via an axiomatic approach, we characterize the family of n-th order Gini deviation, defined as the expected range over n independent draws from a distribution, to quantify joint di…
econ.TH2025
Disappointment Aversion and Expectiles
Fabio Bellini, Fabio Maccheroni, Tiantian Mao +2
This paper recasts Gul's (1991) theory of disappointment aversion in a Savage framework, with general outcomes, new explicit axioms of disappointment aversion, and novel explicit r…