Higher-order risk vulnerability

Higher - order Risk Preferences in Social Settings

We study higher-order risk preferences, i.e. prudence and temperance, next to risk aversion in social settings. Previous experimental studies have shown that higherorder risk preferences aff ect the choices of individuals deciding privately on lotteries that only aff ect their own pay-off . Yet, most risky and fi nancially relevant decisions in the fi eld are made in the social settings of hous...

Stronger measures of higher-order risk attitudes

This paper aims to extend the results by Ross [15] and by Modica and Scarsini [13] to stochastic dominance of degree 4 and over. Specifically, it is shown that Ross’ approach can be extended to any order of risk attitude beyond the generalization proposed by Modica and Scarsini by means of sth degree increase in risk defined by Ekern [8].

Higher-Order Risk Attitudes toward Correlation

Higher-order risk attitudes other than risk aversion (e.g., prudence and temperance) play vital roles both in theoretical and empirical work. While the literature has mainly focused on how they entail a preference for combining “good” outcomes with “bad” outcomes, We consider here an alternative approach which relates higher-order risk attitudes to the sign of correlation. The theoretical resul...

Options and higher-order risk premiums

Moment characterization of higher-order risk preferences