On 13th May 2025, Prof. Dr. Roger Laeven, Full Professor and Chair of Mathematics and Economics of Risk at the University of Amsterdam, visited our institute to present his latest research on Higher-Order Risk Attitudes for Non-Expected Utility.
In his paper, Prof. Laeven expands the analysis of higher-order risk preferences to include non-expected utility models. He introduces behavioral definitions of these preferences, which, while valid under expected utility, also apply to most widely used non-expected utility models. To support his theory, he conducted an experiment with 227 respondents, revealing strong evidence of probability-driven prudence in both gains and losses. Additionally, the findings suggest that while losses lead to outcome-prudent behavior, gains are associated with outcome-neutral behavior, indicating that prudence, as observed in prior studies, is primarily driven by probabilities.