WP 2016

WP 2016-12 Stochastic distortion and stochastic distorted copula

Posted On December 20, 2016
Categories Working Papers, WP 2016

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AUTHORS: Feng Lin, Liang Peng, Jiehua Xie and Jingping Yang

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… more »

WP 2016-11 Once Bitten, Twice Shy: The Role of Inertia and Personal Experience in Risk Taking

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Published in 2019 in Journal of Financial Economics, Volume 132, Issue 3.

AUTHORS: Steffen Andersen, Tobin Hanspal, Kasper Meisner Nielsen

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… more »

WP 2016-10 Fire Sales and House Prices: Evidence from Estate Sales due to Sudden Death

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Published in 2017 in Management Science, Volume 63, Number 1.

AUTHORS: Steffen Andersen and Kasper Meisner Nielsen

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… more »

WP 2016-09 The Risk of Gambling Problems in the General Population: A Reconsideration

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Published in 2019 in Journal of Gambling Studies.

AUTHORS: Glenn W. Harrison, Morten I. Lau, Don Ross

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… more »

WP 2016-08 The Psychology of Human Risk Preferences and Vulnerability to Scare-Mongers: Experimental Economic Tools for Hypothesis Formulation and Testing

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Published in 2016 in Journal of Cognition and Culture, Volume 16, Issue 5.

AUTHORS: Glenn W. Harrison and Don Ross

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… more »

WP 2016-06 Varieties of Paternalism and the Heterogeneity of Utility Structures

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Published in Journal of Economic Methodology, Volume 25, Issue 1.

AUTHORS: Glenn W. Harrison and Don Ross

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… more »

WP 2016-05 Cumulative Prospect Theory in the Laboratory: A Reconsideration

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Forthcoming in G.W. Harrison and D. Ross (eds.), Models of Risk Preferences: Descriptive and Normative Challenges (Bingley, UK: Emerald, Research in Experimental Economics, 2021).

AUTHORS: Glenn W. Harrison and J. Todd Swarthout

ABSTRACT: We take Cumulative Prospect Theory (CPT) seriously by rigorously estimating structural models using the full set of CPT… more »

WP 2016-04 Small Stakes Risk Aversion in the Laboratory: A Reconsideration

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Published in 2017 in Economic Letters, Volume 160.

AUTHORS: Glenn W. Harrison, Morten I. Lau, Don Ross, J. Todd Swarthout

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… more »

WP 2016-03 Old-Age Provision: Past, Present, Future

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Published in 2016 in European Actuarial Journal, Volume 6, Issue 2.

AUTHORS: Hansjörg Albrecher, Paul Embrechts, Damir Filipović, Glenn Harrison, Pablo Koch, Stéphane Loisel, Paolo Vanini, Joël Wagner

ABSTRACT: This is a summary of the main topics and findings from the Swiss Risk and Insurance Forum 2015. That event gathered experts… more »