Choice under Risk : Theory and Applications

Es útil para estudiantes de postgrado (Master y Doctorado) en cursos de Economía o de Microeconomía en los que se analicen problemas de Decisión en condiciones de Riesgo o Incertidumbre. El documento comienza explicando la Teoría de la Utilidad Esperada. A continuación se estudian la aversión al riesgo, los coeficientes de aversión absoluta y relativa al riesgo, la relación “más averso que” entre agentes económicos y los efectos riqueza sobre las decisiones en algunas relaciones de preferencia utilizadas frecuentemente en el análisis económico. La sección 4 se centra en la comparación entre alternativas arriesgadas en términos de rendimiento y riesgo, considerando la dominancia estocástica de primer y segundo orden y algunas extensiones posteriores de esas relaciones de orden. El documento concluye con doce ejercicios resueltos en los que se aplican los conceptos y resultados expuestos en las secciones anteriores a problemas de decisión en varios contextos

Portfolio choice with a correlated background risk : theory and evidence

We extend the static portfolio choice problem with a small background risk to the case of small partially correlated background risks. We show that respecting the theories under which risk substitution appears, except for the independence of background risk, it is perfectly rational for the individual to increase his optimal exposure to portfolio risk when risks are partially negatively correlated. Then, we test empirically the hypothesis of risk substitutability using INSEE data on French households. We find that households respond by increasing their stockholdings in response to the increase in future earnings uncertainty. This conclusion is in contradiction with results obtained in other countries. So, in light of these results, our model provides an explanation to account for the lack of empirical consensus on cross-country tests of risk substitution theory that encompasses and criticises all of them.

Optimal preventive maintenance of leased equipment with corrective minimal repairs

For leased equipment, the lessor carries out the maintenance of the equipment. Usually, the contract of lease specifies the penalty for equipment failures and for repairs not being carried out within specified time limits. This implies that optimal preventive maintenance policies must take these penalty costs into account and properly traded against the cost of preventive maintenance actions. The costs associated with failures are high as unplanned corrective maintenance actions are costly and the resulting penalties due to lease contract terms being violated. The paper develops a model to determine the optimal parameters of a preventive maintenance policy that takes into account all these costs to minimize the total expected cost to the lessor for new item lease. The parameters of the policy are (i) the number of preventive maintenance actions to be carried out over the lease period, (ii) the time instants for such actions, and (iii) the level of action. (c) 2005 Elsevier B.V. All rights reserved.

On the design of customized risk measures in insurance, the problem of capital allocation and the theory of fluctuations for Lévy processes

Dans cette thèse, nous étudions quelques problèmes fondamentaux en mathématiques financières et actuarielles, ainsi que leurs applications. Cette thèse est constituée de trois contributions portant principalement sur la théorie de la mesure de risques, le problème de l’allocation du capital et la théorie des fluctuations. Dans le chapitre 2, nous construisons de nouvelles mesures de risque cohérentes et étudions l’allocation de capital dans le cadre de la théorie des risques collectifs. Pour ce faire, nous introduisons la famille des "mesures de risque entropique cumulatifs" (Cumulative Entropic Risk Measures). Le chapitre 3 étudie le problème du portefeuille optimal pour le Entropic Value at Risk dans le cas où les rendements sont modélisés par un processus de diffusion à sauts (Jump-Diffusion). Dans le chapitre 4, nous généralisons la notion de "statistiques naturelles de risque" (natural risk statistics) au cadre multivarié. Cette extension non-triviale produit des mesures de risque multivariées construites à partir des données financiéres et de données d’assurance. Le chapitre 5 introduit les concepts de "drawdown" et de la "vitesse d’épuisement" (speed of depletion) dans la théorie de la ruine. Nous étudions ces concepts pour des modeles de risque décrits par une famille de processus de Lévy spectrallement négatifs.

Travellers’ intention to purchase travel online: integrating trust and risk to the theory of planned behaviour

This study aims to determine which factors influence travellers’ intentions to purchase travel online by proposing and empirically testing a new model grounded on the theory of planned behaviour. In order to validate the model, a web-based questionnaire was applied and a total of 1732 valid responses were obtained. The findings show that attitudes, perceived risk, and perceived behavioural control have significant effects on intentions to purchase travel online. However, contrary to what was expected, neither trust nor the influence of others seems to directly affect intentions to purchase travel online. Finally, the paper discusses the findings with the implicationsfor theory and practice and makes several suggestions for future research.

Travellers’ intention to purchase travel online: integrating trust and risk to the theory of planned behaviour

This study aims to determine which factors influence travellers’ intentions to purchase travel online by proposing and empirically testing a new model grounded on the theory of planned behaviour. In order to validate the model, a web-based questionnaire was applied and a total of 1732 valid responses were obtained. The findings show that attitudes, perceived risk, and perceived behavioural control have significant effects on intentions to purchase travel online. However, contrary to what was expected, neither trust nor the influence of others seems to directly affect intentions to purchase travel online. Finally, the paper discusses the findings with the implications for theory and practice and makes several suggestions for future research.

The Risk Implications of Globalisation: An Exploratory Analysis of 105 Major Industrial Incidents (1971–2010)

This paper revisits work on the socio-political amplification of risk, which predicts that those living in developing countries are exposed to greater risk than residents of developed nations. This prediction contrasts with the neoliberal expectation that market driven improvements in working conditions within industrialising/developing nations will lead to global convergence of hazard exposure levels. It also contradicts the assumption of risk society theorists that there will be an ubiquitous increase in risk exposure across the globe, which will primarily affect technically more advanced countries. Reviewing qualitative evidence on the impact of structural adjustment reforms in industrialising countries, the export of waste and hazardous waste recycling to these countries and new patterns of domestic industrialisation, the paper suggests that workers in industrialising countries continue to face far greater levels of hazard exposure than those of developed countries. This view is confirmed when a data set including 105 major multi-fatality industrial disasters from 1971 to 2000 is examined. The paper concludes that there is empirical support for the predictions of socio-political amplification of risk theory, which finds clear expression in the data in a consistent pattern of significantly greater fatality rates per industrial incident in industrialising/developing countries.

Randomized observation periods for the compound Poisson risk model: Dividends

In the framework of the classical compound Poisson process in collective risk theory, we study a modification of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be paid and ruin can be observed. This model contains both the continuous-time and the discrete-time risk model as a limit and represents a certain type of bridge between them which still enables the explicit calculation of moments of total discounted dividend payments until ruin. Numerical illustrations for several sets of parameters are given and the effect of random observation times on the performance of the dividend strategy is studied.

Auditor's engagement risk and audit fees:the role of the audit firm alumni

This study explores the effect of the association of audit firm alumni with their alma mater on audit prices. The tests indicate that there is a moderate reduction of up to 21% in the level of audit fee when alumni (i.e., former employees) of the incumbent audit firm sit on the client board of directors which is consistent with the engagement risk theory. This suggests that there is an 'alumni effect' in the market for audit services. The findings hold only in the large company segment of the market. The results are robust to different model specifications and alternative samples. The sample comprises all executive and non-executive directors who run the UK quoted companies and are simultaneously ICAEW qualified chartered accountants. The study's implications for the accounting profession and the regulators are also discussed. © 2007 The Author Journal compilation © 2007 Blackwell Publishing Ltd.

Kaupunkilaisen elinympäristöongelma : Käsitteellistämistavat ja puuttumisen mallit

The study analyses the reaction of urban residents to problems, i.e. disturbing factors, in their living environment, and also their ways of doing something about these problems. It is based on urban-sociological theory on everyday life in a modern metropolis. On this theoretical basis, problems in the urban living environment are analysed in terms of a policy of everyday interference: when urban citizens become aware of a problem in their environment, they face a pattern of behaviour where the norm is polite indifference and negative solidarity. They may feel they ought to do something about the problem, but at the same time, an implicit rule of urban life is not to interfere with other people s lives so they won t interfere with yours. For example, it is not that easy for someone disturbed by littering to complain directly to those who litter the streets. Or if you complain about tobacco smoke from the neighbour s balcony, your neighbours might get cross. Direct interference with a problem in the environment usually implies an encounter with a hitherto unknown counterpart and their possible counter-reaction. The risk is either to lose face or get into downright conflict. Therefore, an easier way may be to complain to the city authorities. The Helsinki City Environment Centre is currently working on solutions for all the various kinds of problems that occur in a dense urban structure. Various ways of conceptualising the problems in the living environment are analysed empirically using theme interviews made with citizens having contacted Helsinki City Environment Centre. A phenomenographic approach and a theory-based categorisation are applied on the analysis of the theme interviews. On the grounds of the analysis, the ways of conceptualising are determined by 1) the difficulty of interfering and convincing other people, which in practice means meddling in other people s business, 2) a territorial struggle for space and a place in a dense urban structure, 3) breaches of rules and norms for social routines in urban life, and 4) a crumbling of the urban identity and all that goes along with that. The analysis of the ways of conceptualisation is deepened using a cultural risk theory. The final outcome of the analysis is four types of behaviour among urban residents with regard to interference with everyday problems in the living environment. They have been called yard police , fence builder , park warden and environmental caretaker . The study combines an urban-sociological approach with the theoretical tradition of urban research and with research on municipal environmental policy.

Étude empirique de distributions associées à la Fonction de Pénalité Escomptée

On présente une nouvelle approche de simulation pour la fonction de densité conjointe du surplus avant la ruine et du déficit au moment de la ruine, pour des modèles de risque déterminés par des subordinateurs de Lévy. Cette approche s'inspire de la décomposition "Ladder height" pour la probabilité de ruine dans le Modèle Classique. Ce modèle, déterminé par un processus de Poisson composé, est un cas particulier du modèle plus général déterminé par un subordinateur, pour lequel la décomposition "Ladder height" de la probabilité de ruine s'applique aussi. La Fonction de Pénalité Escomptée, encore appelée Fonction Gerber-Shiu (Fonction GS), a apporté une approche unificatrice dans l'étude des quantités liées à l'événement de la ruine été introduite. La probabilité de ruine et la fonction de densité conjointe du surplus avant la ruine et du déficit au moment de la ruine sont des cas particuliers de la Fonction GS. On retrouve, dans la littérature, des expressions pour exprimer ces deux quantités, mais elles sont difficilement exploitables de par leurs formes de séries infinies de convolutions sans formes analytiques fermées. Cependant, puisqu'elles sont dérivées de la Fonction GS, les expressions pour les deux quantités partagent une certaine ressemblance qui nous permet de nous inspirer de la décomposition "Ladder height" de la probabilité de ruine pour dériver une approche de simulation pour cette fonction de densité conjointe. On présente une introduction détaillée des modèles de risque que nous étudions dans ce mémoire et pour lesquels il est possible de réaliser la simulation. Afin de motiver ce travail, on introduit brièvement le vaste domaine des mesures de risque, afin d'en calculer quelques unes pour ces modèles de risque. Ce travail contribue à une meilleure compréhension du comportement des modèles de risques déterminés par des subordinateurs face à l'éventualité de la ruine, puisqu'il apporte un point de vue numérique absent de la littérature.

Efecto de las pérdidas y ganancias recientes en el riesgo asumido por los automovilistas

Se analiza el efecto de las pérdidas y ganancias recientes sobre la conducta arriesgada y el riesgo percibido en la ejecución del simulador de conducción TIC/PC. Los modelos teóricos analizados coinciden en predecir aumento de la conducta arriesgada tras la pérdida y no modificación tras la ganancia. Los resultados obtenidos no confirman estas predicciones en cuanto al efecto de las pérdidas recientes. Tras las ganancias los sujetos no se diferencian de los controles. En cuanto al riesgo percibido, sólo la Teoría de Riesgo-Cero predice modificaciones tras la pérdida. Si bien nuestros sujetos experimentales perciben menos riesgo tras la pérdida, ello no se traduce en un aumento de la conducta arriesgada. Parece ser que percepción y conducta se rigen por mecanismos diferentes