Journal of Risk and Uncertainty

, Volume 31, Issue 3, pp 289–300 | Cite as

Fear of Ruin

Article

Abstract

This paper offers interpretations and applications of the “fear of ruin” coefficient (Aumann and Kurz, 1977, Econometrica). This coefficient is useful for analyzing the behavior of expected utility maximizers when they face binary lotteries with the same worse outcome. Comparative statics results of “more fear of ruin” are derived. The partial ordering induced by the fear of ruin coefficient is shown to be weaker than that induced by the Arrow-Pratt coefficient.

Keywords

risk-aversion expected utility Arrow-Pratt coefficient auctions value-of-life 

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Copyright information

© Springer Science + Business Media, Inc. 2005

Authors and Affiliations

  1. 1.GremarsUniversity of Lille 3France
  2. 2.Lerna-InraUniversity of ToulouseFrance

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