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Risk‐Taking‐Neutral Background Risks

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2018

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Stapleton, Richard C.

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https://doi.org/10.1111/jori.12235
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The Journal of Risk and Insurance. 2018, 85(2), pp. 335-353. ISSN 0022-4367. eISSN 1539-6975. Available under: doi: 10.1111/jori.12235

Zusammenfassung

This article examines how decision making under uncertainty is affected by the presence of a linearly dependent background risk, for individuals with HARA utility. A linearly dependent background risk is a background risk that increases linearly in the chosen tradable outcome. In order to do this, we construct a parametric class of background risks that we label as risk‐taking‐neutral (RTN). These background risks have the property that they will not alter the decision made with respect to the market risk. As such, these RTN background risks provide a benchmark. In many situations, a background risk that is faced by an investor can be compared to one from the RTN class in order to predict qualitative changes in the investor's choice decision. As this benchmark is easily available, it is convenient to use to predict these changes.

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ISO 690FRANKE, Günter, Harris SCHLESINGER, Richard C. STAPLETON, 2018. Risk‐Taking‐Neutral Background Risks. In: The Journal of Risk and Insurance. 2018, 85(2), pp. 335-353. ISSN 0022-4367. eISSN 1539-6975. Available under: doi: 10.1111/jori.12235
BibTex
@article{Franke2018-06RiskT-42730,
  year={2018},
  doi={10.1111/jori.12235},
  title={Risk‐Taking‐Neutral Background Risks},
  number={2},
  volume={85},
  issn={0022-4367},
  journal={The Journal of Risk and Insurance},
  pages={335--353},
  author={Franke, Günter and Schlesinger, Harris and Stapleton, Richard C.}
}
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