Axiomatic utility theory under risk: non-Archimedean representations and application to insurance economics
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | German |
| Published: |
Berlin [u.a.]
Springer
1998
|
| Series: | Lecture notes in economics and mathematical systems
461 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XV, 200 S. graph. Darst. |
| ISBN: | 3540643192 |
Staff View
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| 245 | 1 | 0 | |a Axiomatic utility theory under risk |b non-Archimedean representations and application to insurance economics |c Ulrich Schmidt |
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 1998 | |
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| 650 | 4 | |a Utility theory | |
| 650 | 4 | |a Risk management -- Mathematical models | |
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Record in the Search Index
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|---|---|
| adam_text | Contents
1 A Survey 1
1.1 Introduction 1
1.2 The General Framework 2
1.3 Expected Utility Theory 4
1.3.1 Axioms for Expected Utility 4
1.3.2 Representation Theorems 9
1.3.3 Properties of Expected Utility 12
1.3.4 Violations of Independence 15
1.3.5 Descriptive versus Prescriptive Theories 18
1.4 Generalizations of Expected Utility 19
1.4.1 Utility Theories with the Betweenness Property . 19
1.4.1.1 Characterizing Betweenness 19
1.4.1.2 Weighted Utility Theory 21
1.4.1.3 Implicit Weighted Utility and Implicit
Expected Utility 25
1.4.1.4 The Theory of Disappointment Aversion 30
1.4.1.5 Empirical Performance of Betweenness 33
1.4.2 Rank-Dependent Utility Theory 34
1.4.2.1 Distortion of Probabilities 34
xiv
1.4.2.2 Anticipated Utility 38
1.4.2.3 Dual Expected Utility 43
1.4.2.4 The General Rank-Dependent Model . 45
1.4.2.5 Cumulative Prospect Theory 49
1.4.2.6 Empirical Performance of Rank-Dependent
Utility 51
1.4.3 Local Expected Utility Analysis 52
1.4.3.1 The Approach of Machina 52
1.4.3.2 Generalizations of Machina s Approach 56
1.4.4 Hybrid Models 57
1.4.4.1 The Unifying Approach 57
1.4.4.2 Quadratic Utility 60
1.4.4.3 Utility Theory with Probability-Dependent
Outcome Valuation 64
1.4.4.4 Lottery Dependent Utility 66
1.5 Conclusions 66
2 Non-Archimedean Representations 69
2.1 Introduction 69
2.2 Lexicographic Expected Utility 72
2.3 Expected Utility with Certainty Preference 7°
2.3.1 Purpose of the Model 76
2.3.2 The Framework 77
88
2.3.3 Characterization of Behavior 2.3.3.1 The Certainty Effect Reconsidered . • ¦ 88
89
2.3.3.2 Risk Aversion 94
2.3.3.3 Stochastic Dominance
XV
2.3.4 Remarks on the Related Literature 96
2.4 Expected Utility on Restricted Sets 98
2.4.1 Purpose of the Model 98
2.4.2 The Framework 99
2.4.3 Discontinuous Specifications 106
2.4.3.1 EURS and the Certainty Effect 106
2.4.3.2 EURS and Boundary Effects 109
2.4.4 Continuous Specifications 112
2 A A.I Fanning Properties 112
2.4.4.2 A Continuous Approach to the Cer¬
tainty Effect 116
2.5 Conclusions 121
3 Application to Insurance Economics 123
3.1 Introduction 123
3.2 Two-Outcome Diagrams 125
3.3 Demand for Coinsurance 129
3.4 Bilateral Risk Sharing 139
3.5 Agency Theory 145
3.6 Conclusions 161
References 163
List of Symbols 197
List of Abbreviations 199
List of Figures 201
|
| any_adam_object | 1 |
| author | Schmidt, Ulrich 1968- |
| author_GND | (DE-588)131865099 |
| author_facet | Schmidt, Ulrich 1968- |
| author_role | aut |
| author_sort | Schmidt, Ulrich 1968- |
| author_variant | u s us |
| building | Verbundindex |
| bvnumber | BV011875331 |
| callnumber-first | H - Social Science |
| callnumber-label | HB201 |
| callnumber-raw | HB201.S415 1998 |
| callnumber-search | HB201.S415 1998 |
| callnumber-sort | HB 3201 S415 41998 |
| callnumber-subject | HB - Economic Theory and Demography |
| classification_rvk | QC 020 QQ 630 SI 853 |
| ctrlnum | (OCoLC)38520337 (DE-599)BVBBV011875331 |
| dewey-full | 658.4/03 658.4/0321 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.4/03 658.4/03 21 |
| dewey-search | 658.4/03 658.4/03 21 |
| dewey-sort | 3658.4 13 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Thesis Book |
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| language | German |
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| series2 | Lecture notes in economics and mathematical systems |
| spelling | Schmidt, Ulrich 1968- Verfasser (DE-588)131865099 aut Axiomatic utility theory under risk non-Archimedean representations and application to insurance economics Ulrich Schmidt Berlin [u.a.] Springer 1998 XV, 200 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lecture notes in economics and mathematical systems 461 Zugl.: Kiel, Univ., Diss., 1997 Administración de riesgos - Modelos matemáticos Bruikbaarheidstheorie gtt Risk management gtt Seguros - Modelos matemáticos Verzekeringswiskunde gtt Wiskundige modellen gtt Mathematisches Modell Utility theory Risk management -- Mathematical models Insurance -- Mathematical models Versicherungsmathematik (DE-588)4063194-1 gnd rswk-swf Nutzentheorie (DE-588)4131868-7 gnd rswk-swf Risikotheorie (DE-588)4135592-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Nutzentheorie (DE-588)4131868-7 s Risikotheorie (DE-588)4135592-1 s DE-604 Versicherungsmathematik (DE-588)4063194-1 s Lecture notes in economics and mathematical systems 461 (DE-604)BV000000036 461 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008023914&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schmidt, Ulrich 1968- Axiomatic utility theory under risk non-Archimedean representations and application to insurance economics Lecture notes in economics and mathematical systems Administración de riesgos - Modelos matemáticos Bruikbaarheidstheorie gtt Risk management gtt Seguros - Modelos matemáticos Verzekeringswiskunde gtt Wiskundige modellen gtt Mathematisches Modell Utility theory Risk management -- Mathematical models Insurance -- Mathematical models Versicherungsmathematik (DE-588)4063194-1 gnd Nutzentheorie (DE-588)4131868-7 gnd Risikotheorie (DE-588)4135592-1 gnd |
| subject_GND | (DE-588)4063194-1 (DE-588)4131868-7 (DE-588)4135592-1 (DE-588)4113937-9 |
| title | Axiomatic utility theory under risk non-Archimedean representations and application to insurance economics |
| title_auth | Axiomatic utility theory under risk non-Archimedean representations and application to insurance economics |
| title_exact_search | Axiomatic utility theory under risk non-Archimedean representations and application to insurance economics |
| title_full | Axiomatic utility theory under risk non-Archimedean representations and application to insurance economics Ulrich Schmidt |
| title_fullStr | Axiomatic utility theory under risk non-Archimedean representations and application to insurance economics Ulrich Schmidt |
| title_full_unstemmed | Axiomatic utility theory under risk non-Archimedean representations and application to insurance economics Ulrich Schmidt |
| title_short | Axiomatic utility theory under risk |
| title_sort | axiomatic utility theory under risk non archimedean representations and application to insurance economics |
| title_sub | non-Archimedean representations and application to insurance economics |
| topic | Administración de riesgos - Modelos matemáticos Bruikbaarheidstheorie gtt Risk management gtt Seguros - Modelos matemáticos Verzekeringswiskunde gtt Wiskundige modellen gtt Mathematisches Modell Utility theory Risk management -- Mathematical models Insurance -- Mathematical models Versicherungsmathematik (DE-588)4063194-1 gnd Nutzentheorie (DE-588)4131868-7 gnd Risikotheorie (DE-588)4135592-1 gnd |
| topic_facet | Administración de riesgos - Modelos matemáticos Bruikbaarheidstheorie Risk management Seguros - Modelos matemáticos Verzekeringswiskunde Wiskundige modellen Mathematisches Modell Utility theory Risk management -- Mathematical models Insurance -- Mathematical models Versicherungsmathematik Nutzentheorie Risikotheorie Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008023914&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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| work_keys_str_mv | AT schmidtulrich axiomaticutilitytheoryunderrisknonarchimedeanrepresentationsandapplicationtoinsuranceeconomics |