Details
We look forward to welcoming Prof. Dr. Roger Laeven, Full Professor and Chair of Mathematics and Economics of Risk at the University of Amsterdam, on 13th May in the ‘Arena’ room at Square, where he will present his paper.
Abstract:
This paper extends the analysis of higher-order risk preferences to the domain of non-expected utility. We provide elementary, behavioral definitions of higher-order risk preferences that, besides under expected utility, retain validity under most popular non-expected utility models, and are readily amenable to experimentation. We implement our definitions in a measurement experiment with N = 227 respondents. The results provide evidence of probability-driven prudence both for gains and for losses. Furthermore, we find outcome prudent behavior for losses, but outcome-prudent neutral behavior for gains, suggesting that prudence as observed in most previous studies is primarily probabilistic in nature.