A General Index of Absolute Risk Attitude

Michel M. Denuit () and Louis Eeckhoudt
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Michel M. Denuit: Institut de Sciences Actuarielles and Institut de Statistique, Université Catholique de Louvain, B-1348 Louvain-la-Neuve, Belgium

Management Science, 2010, vol. 56, issue 4, 712-715

Abstract: Many results involving expected utility theory call upon the notions of absolute risk aversion, prudence, and/or temperance. This paper exploits a representation of the Friedman-Savage utility premium (Friedman, M., L. J. Savage. 1948. The utility analysis of choices involving risk. J. Political Econom. 56(4) 279-304) to give a general foundation for such coefficients and for their higher-order extensions.

Keywords: comparative risk attitude; nth degree increase in risk; absolute prudence; absolute temperance (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (24)

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Related works:
Working Paper: A general index of absolute risk attitude (2010)
Working Paper: A General Index of Absolute Risk Attitude (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:56:y:2010:i:4:p:712-715

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