The notion of prudence was very useful in economics to analyze saving or self protection decisions. We show in this note that, following Ben-Tal and Teboulle (2007), it is also relevant to develop risk measures.

Prudence, risk measures and the Optimized Certainty Equivalent: a note

PAGANI, Elisa;
2016-01-01

Abstract

The notion of prudence was very useful in economics to analyze saving or self protection decisions. We show in this note that, following Ben-Tal and Teboulle (2007), it is also relevant to develop risk measures.
Utility Theory, Certainty Equivalent, Prudence Premium, Risk Measure
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/964111
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