Calibration without reduction for non-expected utility

A-Tier
Journal: Journal of Economic Theory
Year: 2015
Volume: 158
Issue: PA
Pages: 21-32

Score contribution per author:

4.022 = (α=2.01 / 1 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Calibration results in Rabin (2000) and Safra and Segal (2008, 2009) suggest that both expected and non-expected utility theories cannot produce non-negligible risk aversion over small stakes without producing implausible risk aversion over large stakes. This paper provides calibration results for recursive non-expected utility theories that relax the Reduction of Compound Lotteries axiom (as in Segal, 1990). These calibration results imply that a broad class of non-expected utility theories can accommodate both small and large stakes risk aversion, even for a decision-maker who faces background risk.

Technical Details

RePEc Handle
repec:eee:jetheo:v:158:y:2015:i:pa:p:21-32
Journal Field
Theory
Author Count
1
Added to Database
2026-01-25