Pure Risk

2026-08-29

AI Summary

本文提出了一种领域特定的风险厌恶概念，通过允许风险态度在不同领域间变化来扩展预期效用模型，并从选择行为中识别这些领域。

Abstract

We introduce a behavioral notion of domain-specific risk aversion that separates attitudes toward risk from deterministic utility: an agent is more pure risk averse in one domain than in another if, for prizes that are indifferent under certainty, he is more averse to risk in the former domain than in the latter. We develop a model that goes beyond expected utility by allowing risk attitudes to vary across domains, while preserving expected utility within each domain. The domains are subjective and need not be specified in advance; they are identified from choice behavior. We establish uniqueness of the model's parameters and provide an axiomatic characterization.

Problem

• pure risk aversion
• domain-specific
• risk attitudes

Innovation

• domain-specific risk aversion
• expected utility
• behavioral notion