A proposal of an intensity of higher-order risk aversion -theory and applications-

• Project/Area Number: 23730202
• Research Category: Grant-in-Aid for Young Scientists (B)
• Allocation Type: Multi-year Fund
• Research Field: Economic theory
• Research Institution: Osaka Sangyo University
• Principal Investigator: YUSUKE Osaki 大阪産業大学, 経済学部, 准教授 (80511302)
• Project Period (FY): 2011-04-28 – 2015-03-31
• Project Status: Completed (Fiscal Year 2014)
• Budget Amount: ¥3,250,000 (Direct Cost: ¥2,500,000、Indirect Cost: ¥750,000); Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000); Fiscal Year 2012: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000); Fiscal Year 2011: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
• Keywords: 高次リスク回避度 / 高次リスク / 予備的貯蓄 / 比較静学 / 期待効用 / 曖昧性 / 曖昧性回避 / 多属性効用 / 国際情報交流 / リスク回避度 / 確率支配 / 比較静学分析 / 経済実験

Outline of Final Research Achievements

An intensity of higher-order risk aversion is captured by a kind of curvature of higher order derivatives of (von Neumann-Morgenstern) utility function. Signs of their higher-order derivatives represents preferences for higher-order risks which can related higher-order moments. Eeckhoudt and Schlesinger (2006) proposed a framework to characterize higher-order risk aversion. This research project characterized an intensity of higher-order risk aversion in their framework. Our intensity can be seen as an extension of Arrow-Pratt risk aversion. This research project examine how an intensity of higher-order risk aversion relate an equilibrium risk-free rate.

Research Products

• [Journal Article] The dual theory of the smooth ambiguity model (2014)
  • Author(s): Hideki Iwaki, Yusuke Osaki
  • Journal Title: Economic Theory Volume: 56 Pages: 275-289
  • Peer Reviewed / Acknowledgement Compliant
• [Journal Article] An optimal life insurance policy in the continuous-time investment-consumption problem (2013)
  • Author(s): Hideki Iwaki and Yusuke Osaki
  • Journal Title: Journal of Mathematical Finance Volume: 3 Pages: 291-306
  • Peer Reviewed
• [Journal Article] Optimal accounting policies under financial constraints:aggressive versus conservative (2011)
  • Author(s): Masatomo Akita, Yusuke Osaki
  • Journal Title: Economics Bulletin Volume: 31巻 Pages: 3179-3191
  • Peer Reviewed
• [Presentation] Regret aversion and demand for mixed insurance (2015)
  • Author(s): Yusuke Osaki
  • Organizer: East Asia RMI Insurance Workshop
  • Place of Presentation: 京都産業大学
  • Year and Date: 2015-01-10
• [Presentation] 高次リスク回避度-最近の研究動向について- (2014)
  • Author(s): 尾崎祐介
  • Organizer: 第27回RISS綜合研究会
  • Place of Presentation: 関西大学
  • Year and Date: 2014-10-31
• [Presentation] Regret aversion and demand for mixed insurance (2014)
  • Author(s): Yusuke Osaki
  • Organizer: 2014 Annual Conference of Asia-Pacific Risk and Insurance Association
  • Place of Presentation: Moscow
  • Year and Date: 2014-07-27 – 2014-07-30
• [Presentation] Portfolio choice and ambiguous background risk (2014)
  • Author(s): 尾崎祐介
  • Organizer: 日本経営財務研究学会第1回ファイナンスキャンプ
  • Place of Presentation: 六甲スカイ・ヴィラ
  • Year and Date: 2014-07-12 – 2014-07-13
• [Presentation] Portfolio choice and ambiguous background risk (2014)
  • Author(s): 尾崎祐介
  • Organizer: 日本ファイナンス学会
  • Place of Presentation: 中央大学
  • Year and Date: 2014-05-31 – 2014-06-01
• [Presentation] The effect of regret aversion on self-insurance and self-protection (2013)
  • Author(s): Yusuke Osaki
  • Organizer: 2013 Annual Conference of Asia Pacific Risk and Insurance Association
  • Place of Presentation: St. Johns University
• [Presentation] The effect of regret aversion on self-insurance and self-protection (2013)
  • Author(s): 尾崎 祐介
  • Organizer: 2013年度日本応用経済学会春季大会
  • Place of Presentation: 立命館大学
• [Presentation] Pracuationary saving and ambiguity (2013)
  • Author(s): 尾崎 祐介
  • Organizer: 行動経済学会第7回大会
  • Place of Presentation: 京都大学
• [Presentation] The effect of regret aversion on self-insurance and self-protection (2013)
  • Author(s): Yusuke Osaki
  • Organizer: The 17th annual conference of Asia Pacific Risk and Insurance Association
  • Place of Presentation: St. Johns University, New York, US.
• [Presentation] A dual theory of the smooth ambiguity model (2012)
  • Author(s): Yusuke Osaki
  • Organizer: The 39th annual conference of European Group of Risk and Insurance Economists
  • Place of Presentation: Centre de Culura-Sa Nostra, Palma, Spain
• [Presentation] Optimal accounting policies under financial constraints: Aggressive versus conservative (2012)
  • Author(s): 尾崎 祐介
  • Organizer: 日本経営財務研究学会2012年西日本部会
  • Place of Presentation: 名古屋学院大学
• [Presentation] The dual theory of the smooth ambiguity model (2012)
  • Author(s): 尾崎 祐介
  • Organizer: JAFEE:ファイナンスの意思決定解析研究部会第4回研究会
  • Place of Presentation: 芝浦工業大学
• [Remarks] 尾崎祐介のホームページ
  • URL: https://sites.google.com/site/osakiyusuke/
• [Remarks] 尾崎祐介のホームページ
  • URL: https://sites.google.com/site/osakiyusuke/