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Observing different orders of risk aversion
Authors:Graham Loomes  Uzi Segal
Institution:1. Department of Economics, University of York, YO1 5DD, York, UK
2. Department of Economics, University of Toronto, M5S 1A1, Ontario, Canada
Abstract:A decision maker's attitude towards risk is said to be of orderi, i=1, 2, if for every given riskē with expected value zero, the risk premium the decision maker is willing to pay to avoid the risk goes witht to zero at the same order ast i. This article presents an experiment testing the order of decision makers' attitudes toward risk. Its major result is that both attitudes exist, each in significant proportions. Moreover, two classes of first-order behavior are defined. The rank-dependent model (Quiggin, 1982) belongs to one, the disappointment aversion model (Gul, 1991) to the other. We show that only the first of these two classes appears among our subjects.
Keywords:
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