Economic and financial Decisions under Risk.pdf

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1、EconomicandFinancialDecisionsunderRiskEconomicandFinancialDecisionsunderRiskLouisEeckhoudtCatholicUniversityofMonsChristianGollierUniversityofToulouseHarrisSchlesingerUniversityofAlabamaPrincetonUniversityPressPrincetonandOxfordCopyright
c2005byPrincetonUniv

2、ersityPressPublishedbyPrincetonUniversityPress,41WilliamStreet,Princeton,NewJersey08540IntheUnitedKingdom:PrincetonUniversityPress,3MarketPlace,Woodstock,OxfordshireOX201SYAllrightsreservedLibraryofCongressCataloguing-in-PublicationDataEeckhoudt,LouisEconomi

3、candfinancialdecisionsunderrisk/LouisEeckhoudt,ChristianGollierandHarrisSchlesinger.p.cm.Includesbibliographicalreferencesandindex.ISBN0-691-09655-4(cloth:alk.paper)—ISBN0-691-12215-6(pbk:alk.paper)1.Risk.2.Riskassessment.3.Riskmanagement.4.Finance—Decisionma

4、king.5.Economics—Decisionmaking.I.Gollier,Christian.II.Schlesinger,Harris.III.Title.HB615.E442005338.5—dc222004058689BritishLibraryCataloguing-in-PublicationDataAcataloguerecordforthisbookisavailablefromtheBritishLibraryThisbookhasbeencomposedinTimesandtypes

5、etbyT&TProductionsLtd,LondonPrintedonacid-freepaper
∞www.pup.princeton.eduPrintedintheUnitedStatesofAmerica10987654321ContentsPrefaceixIDecisionTheory11RiskAversion31.1AnHistoricalPerspectiveonRiskAversion31.2DefinitionandCharacterizationofRiskAversion71.3Ris

6、kPremiumandCertaintyEquivalent91.4DegreeofRiskAversion131.5DecreasingAbsoluteRiskAversionandPrudence161.6RelativeRiskAversion171.7SomeClassicalUtilityFunctions191.8BibliographicalReferences,ExtensionsandExercises222TheMeasuresofRisk272.1IncreasesinRisk282.2A

7、versiontoDownsideRisk362.3First-DegreeStochasticDominance372.4BibliographicalReferences,ExtensionsandExercises39IIRiskManagement433InsuranceDecisions453.1OptimalInsurance:anIllustration473.2OptimalCoinsurance493.3ComparativeStaticsintheCoinsuranceProblem533.

8、4TheOptimalityofDeductibleInsurance563.5BibliographicalReferences,ExtensionsandExercises594StaticPortfolioChoices654.1TheOne-Risky–One-Riskfree-AssetModel654.2TheEffectofBackgroundRisk68viConten