ABSTRACT: Motivated by the wide applications of distortion function and copulas in insurance and finance, this paper generalizes the notion of deterministic distortion function to a stochastic distortion function, i.e., a random process, and employs the defined stochastic distortion function to construct a so-called stochastic distorted copula. One method for constructing… more »
Published in 2019 in Journal of Financial Economics, Volume 132, Issue 3.
ABSTRACT: We study whether personal experiences are so powerful that they make individuals actively shy away from risk. Our research design relies on portfolio decisions relating to inheritances, which alter the active decision from one of choosing to take… more »
Published in 2017 in Management Science, Volume 63, Number 1.
ABSTRACT: This study investigates when forced sales of real estate turn into fire sales by using a natural experiment which allows us to separate supply and demand effects: Forced sales result from sudden death of house owners and are thus unrelated… more »
Forthcoming – Journal of Gambling Studies
ABSTRACT: We examine the manner in which the population prevalence of disordered gambling has usually been estimated, on the basis of surveys that suffer from a potential sample selection bias. General population surveys screen respondents using seemingly innocuous “trigger,” “gateway” or “diagnostic stem” questions, applied… more »
WP 2016_08 The Psychology of Human Risk Preferences and Vulnerability to Scare-Mongers: Experimental Economic Tools for Hypothesis Formulation and Testing
Published in 2016 in Journal of Cognition and Culture, Volume 16, Issue 5.
ABSTRACT: The Internet and social media have opened niches for political exploitation of human dispositions to hyper-alarmed states that amplify perceived threats relative to their objective probabilities of occurrence. Researchers should aim to observe the dynamic “ramping up”… more »
ABSTRACT: Index insurance was conceived to be a product that would simplify the claim settlement process and make it more objective, reducing transaction costs and moral hazard. These attributes make it attractive in developing countries, where the costs of individual claims assessment would quickly overcome the expected premium revenue. Index insurance… more »
Published in Journal of Economic Methodology, Volume 25, Issue 1.
ABSTRACT: A principal source of interest in behavioral economics has been its advertised contributions to policies aimed at ‘nudging’ people away from allegedly natural but self-defeating behavior toward patterns of response thought more likely to improve their welfare. This has occasioned… more »
ABSTRACT: We take Cumulative Prospect Theory (CPT) seriously by rigorously estimating structural models using the full set of CPT parameters. Much of the literature only estimates a subset of CPT parameters, or more simply assume CPT parameter values from prior studies. Our data are from laboratory experiments with undergraduate students and… more »
Published in 2017 in Economic Letters, Volume 160.
ABSTRACT: Evidence of risk aversion in laboratory settings over small stakes leads to a priori implausible levels of risk aversion over large stakes under certain assumptions. One core assumption in statements of this calibration puzzle is that small-stakes risk aversion is observed over… more »
Published in 2016 in European Actuarial Journal, Volume 6, Issue 2.
ABSTRACT: This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2015. That event gathered experts from academia, insurance industry, regulatory bodies, and consulting companies to discuss the past and current developments and… more »