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Background Risk, Prudence, and the Demand for Insurance
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Background Risk, Prudence, and the Demand for Insurance (1992)Background Risk, Prudence, and the Demand…Aspects of Rational Insurance Purchasing (1992)Aspects of Rational Insurance…Standard Risk Aversion (1991)Standard Risk AversionPrecautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Precautionary Saving and the Marginal Propensity to Consume (1990)Precautionary Saving and the …Precautionary Saving in the Small and in the Large (1989)Precautionary Saving in the S…Proper Risk Aversion (1987)Proper Risk AversionSelf-insurance, self-protection and increased risk aversion (1985)Self-insurance, self-protecti…Optimal Insurance in Incomplete Markets (1983)Optimal Insurance in Incomple…The Optimal Level of Deductibility in Insurance Contracts (1981)The Optimal Level of Deductib…Risk Aversion with Random Initial Wealth (1981)Risk Aversion with Random Ini…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Aspects of Rational Insurance Purchasing (1968)Aspects of Rational Insurance…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Optimal insurance with background risk: An analysis of general dependence structures (2020)Optimal insurance with backgr…The Theory of Insurance Demand (2013)The Theory of Insurance DemandComparative Ross risk aversion in the presence of mean dependent risks (2013)Comparative Ross risk aversio…Individual Annuity Demand Under Aggregate Mortality Risk (2009)Individual Annuity Demand Und…Precautionary saving in the presence of other risks (2006)Precautionary saving in the p…Optimal risk sharing with background risk (2005)Optimal risk sharing with bac…Left-Side strong increases in risk and their comparative statics (2004)Left-Side strong increases in…Increase in Risk and Weaker Marginal-Payoff-Weighted Risk Dominance (2001)Increase in Risk and Weaker M…Diffidence Theorem, State-Dependent Preferences, and DARA* (2001)Diffidence Theorem, State-Dep…Behavior of Household Portfolios in France: the Role of Housing (2001)Behavior of Household Portfol…Background Risks and the Value of a Statistical Life (2001)Background Risks and the Valu…The Theory of Insurance Demand (2000)The Theory of Insurance DemandAdverse Selection in Insurance Markets (2000)Adverse Selection in Insuranc…Non-Expected Utility and The Robustness of the Classical Insurance Paradigm (1995)Non-Expected Utility and The …Optimal hedging in a futures market with background noise and basis risk (1993)Optimal hedging in a futures …Insurance with undiversifiable risk: Contract structure and organizational form of insurance firms (1993)Insurance with undiversifiabl…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficient Diversification of Investments. (1962)Rational Insurance Purchasing: Consideration of Contract Nonperformance (1990)UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE (2003)Risk and uncertainty: a fallacy of large numbers (1963)Essays in the Theory of Risk-Bearing. (1972)Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the Equity Premium Puzzle (1995)Strategic Asset Allocation (2002)Some Stronger Measures of Risk Aversion in the Small and the Large with Applications (1981)Risk Aversion and the Propensities for Self-Insurance and Self-Protection (1990)Multiple Dimensions of Private Information: Evidence from the Long-Term Care Insurance Market (2006)Risk Management: History, Definition, and Critique (2013)Aspects of the Theory of Risk-Bearing. (1966)The Welfare Loss of Excess Health Insurance (1973)The Design of an Optimal Insurance Policy (1992)The Demand for Flood Insurance: Empirical Evidence (2000)Saving and Uncertainty: The Precautionary Demand for Saving (1968)Uninsured Idiosyncratic Risk and Aggregate Saving (1994)The analysis of household surveys (1997)Understanding Consumption (1992)Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis (1997)Conditional Skewness in Asset Pricing Tests (2000)Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk (2000)The Role of Social Capital in Financial Development (2004)Financial Intermediation and Delegated Monitoring (1984)Prospect theory: An analysis of decision under risk (1988)Well-being : the foundations of hedonic psychology (1999)Adverse Selection and Moral Hazard in Insurance: Can Dynamic Data Help to Distinguish? (2003)On the measurement of inequality (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)
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References

  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1989Precautionary Saving in the Small and in the Large1,498 cited
  • 1991Standard Risk Aversion851 cited
  • 1968Aspects of Rational Insurance Purchasing738 cited
  • 1992Aspects of Rational Insurance Purchasing609 cited
  • 1987Proper Risk Aversion540 cited
  • 1985Self-insurance, self-protection and increased risk aversion335 cited
  • 1983Optimal Insurance in Incomplete Markets284 cited
  • 1981Risk Aversion with Random Initial Wealth235 cited
  • 1981The Optimal Level of Deductibility in Insurance Contracts191 cited
  • 1990Precautionary Saving and the Marginal Propensity to Consume111 cited

Cited by

  • 2013The Theory of Insurance Demand155 cited
  • 2001Background Risks and the Value of a Statistical Life137 cited
  • 1993Insurance with undiversifiable risk: Contract structure and organizational form of insurance firms

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137 cited
  • 2000Adverse Selection in Insurance Markets127 cited
  • 2005Optimal risk sharing with background risk118 cited
  • 1995Non-Expected Utility and The Robustness of the Classical Insurance Paradigm99 cited
  • 2000The Theory of Insurance Demand91 cited
  • 1993Optimal hedging in a futures market with background noise and basis risk70 cited
  • 2006Precautionary saving in the presence of other risks68 cited
  • 2020Optimal insurance with background risk: An analysis of general dependence structures42 cited
  • 2009Individual Annuity Demand Under Aggregate Mortality Risk34 cited
  • 2001Behavior of Household Portfolios in France: the Role of Housing21 cited
  • 2004Left-Side strong increases in risk and their comparative statics8 cited
  • 2001Increase in Risk and Weaker Marginal-Payoff-Weighted Risk Dominance8 cited
  • 2013Comparative Ross risk aversion in the presence of mean dependent risks7 cited
  • 2001Diffidence Theorem, State-Dependent Preferences, and DARA*7 cited