This paper characterizes downside risk aversion in a simple and intuitive manner. The characterization highlights certain features of downside risk aversion that are common with traditional risk aversion in regards the comparative statics of risk-free wealth. Also, using this characterization one can simplify considerably a theorem by Jindapon (2010) relating to greater downside risk aversion a...

Prudence, risk vulnerability, temperance and some related concepts have recently been introduced into the expected-utility framework of decision making under uncertainty. We demonstrate how they can be meaningfully formulated in terms of two-moment, mean-standard deviation preferences.  2002 Elsevier Science B.V. All rights reserved.

This paper introduces a multiple quantile utility model of Cumulative Prospect Theory in an ambiguous setting. We show a representation theorem in which a prospect is valued by a composite value function. The composite value function is able to represent asymmetric attitude on extreme events and a rational prudence on ordinary events.

Many results involving expected utility theory call upon the notions of absolute risk aversion, prudence and/or temperance. The present paper exploits a representation of the FriedmanSavage utility premium to give a general foundation for such coefficients and for their higherorder extensions.

Theory suggests that people facing higher uninsurable background risk buy more insurance against other risks that are insurable. This proposition is supported by Italian cross-sectional data. It is shown that the probability of purchasing casualty insurance increases with earnings uncertainty. This finding is consistent with consumer preferences being characterised by decreasing absolute prudence.

Shapiro (1990) documented some of the criteria used by actuaries when selecting the assumptions for actuarial valuations. He noted, however, that many of these criteria are often were in conflict with one another. This paper uses expected utility theory to model this process of choosing actuarial assumption when faced with potentially conflicting criteria. The three criteria considered are "pru...

Abstract This article offers an alternative conceptualisation of prudence as encompassing four normative components: reflective reasoning, experience, long-term well-being, and moderation. Prudence involves a pattern reasoning informed by experience in the pursuit well-being through moderate judgements actions. allows distilling set prescriptions for guiding deliberation choice under uncertaint...