Prudence, risk measures and the Optimized Certainty Equivalent: a note

Louis Eeckhoudt, Elisa Pagani () and Emanuela Rosazza Gianin ()
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Emanuela Rosazza Gianin: Department of Statistics and Quantitative Methods, University of Milano-Bicocca, Via Bicocca degli A

No 07/2016, Working Papers from University of Verona, Department of Economics

Abstract: The notion of prudence was very useful in economics to analyze saving or self protection decisions. We show in this note that, following Ben-Tal and Teboulle (2007), it is also relevant to develop risk measures.

Keywords: Utility Theory; Certainty Equivalent; Prudence Premium; Risk Measure. (search for similar items in EconPapers)
JEL-codes: D31 D81 G11 (search for similar items in EconPapers)
Date: 2016-05
New Economics Papers: this item is included in nep-rmg and nep-upt
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Citations: View citations in EconPapers (2)

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