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

Research output: Contribution to journal › Article › Research › peer review

Authors

  • Thomas Eichner
  • Andreas Wagener

Research Organisations

External Research Organisations

  • FernUniversität in Hagen
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Details

Original languageEnglish
Pages (from-to)326-331
Number of pages6
JournalFinance research letters
Volume11
Issue number4
Publication statusPublished - Dec 2014

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

    Elasticity of risk aversion, Insurance demand, Mean-variance preferences, Relative risk aversion

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)
  • Finance

Cite this

Insurance demand and first-order risk increases under (μ, σ)-preferences revisited. / Eichner, Thomas; Wagener, Andreas.
In: Finance research letters, Vol. 11, No. 4, 12.2014, p. 326-331.

Research output: Contribution to journal › Article › Research › peer review

Eichner T, Wagener A. Insurance demand and first-order risk increases under (μ, σ)-preferences revisited. Finance research letters. 2014 Dec;11(4):326-331. doi: 10.1016/j.frl.2014.06.003
Eichner, Thomas ; Wagener, Andreas. / Insurance demand and first-order risk increases under (μ, σ)-preferences revisited. In: Finance research letters. 2014 ; Vol. 11, No. 4. pp. 326-331.
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