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Insurance demand and first-order risk increases under (μ,σ)-preferences revisited

Thomas Eichner and Andreas Wagener

Finance Research Letters, 2014, vol. 11, issue 4, 326-331

Abstract: In the mean–variance framework, insurance demand goes down when the expected size of insurable losses decreases or insurance premia increase if the elasticity of risk aversion with respect to expected wealth exceeds -1. In terms of the expected-utility approach, this condition is equivalent to the index of partial relative risk aversion being lower than one.

Keywords: Mean–variance preferences; Insurance demand; Relative risk aversion; Elasticity of risk aversion (search for similar items in EconPapers)
JEL-codes: D11 D14 D81 G22 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/

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Handle: RePEc:eee:finlet:v:11:y:2014:i:4:p:326-331