This paper presents a method for axiomatizing a variety of models for decision making under uncertainty, including Expected Utility and Cumulative Prospect Theory. This method identifies, for each model, the situations that permit consistent inferences about the ordering of value differences. Examples of rankdependent and sign-dependent preference patterns are used to motivate the models and th...

Decision making is informed by appraisals of appetitive cues and their associated opportunities for rewards. Such appraisals can be modulated by cognitive regulation strategies in order to promote goal-directed choices. Little is known about how cognitive regulation strategies, especially reappraisal, alter risk taking during decision making. To characterise the effect of reappraisal on risk ta...

In this paper, we explore a distributionally robust reinsurance problem that incorporates the concepts of Glue Value-at-Risk and expected value premium principle. The focuses on stop-loss contracts with known mean variance loss. optimization can be formulated as minimax problem, where inner involves maximizing over all distributions same variance. It is demonstrated represented either three-poi...

Theorem 2. If we compare the expected value of DE reported in Equation (4) with the value of the estimator WE in Equation (3), we can notice strong similarities. The main difference is that in DE the sample mean of variable Xi and its probability of being the maximum are computed w.r.t. two independent set of samples, while in WE these two quantities are positively correlated. It follows that W...

This paper provides empirical evidence that firm size, liquidity, and Value-at-Risk (VaR) explain the cross-sectional variation in expected returns, while market beta and total volatility have almost no power to capture the cross-section of expected returns at the firm level. The strong positive relation between average returns and VaR turns out to be robust across different investment horizons...

We examined (1) whether people would be more responsive to the delayed consequences of their decisions when attempting to minimize losses than when attempting to maximize gains in a history-dependent decision-making task and (2) how trait self-control would moderate such an effect. In two experiments, participants performed a dynamic decision-making task where they chose one of two options on e...