On multivariate prudence

• 成果类型: Article
• 署名作者: Jouini, Elyes; Napp, Clotilde; Nocetti, Diego
• 署名单位: Universite PSL; Universite Paris-Dauphine; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); Universite PSL; Universite Paris-Dauphine; Clarkson University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2012.10.007
• 发表日期: 2013
• 页码: 1255-1267
• 关键词: Precautionary saving; Multivariate risk; prudence; Multivariate risk aversion; Downside risk aversion

摘要

In this note we extend the theory of precautionary saving to the case of multivariate risk. We introduce a notion of multivariate prudence, related to a precautionary premium, and we propose a matrix-measure to capture the strength of the precautionary saving motive. We discuss the usefulness of this measure, in particular for comparing precautionary behavior among individuals. We also characterize the notion of multivariate downside risk aversion as a preference for disaggregating harms across outcomes of multivariate lotteries. We show the link between this notion and the notion of multivariate prudence, we propose a matrix-measure of its intensity, and we illustrate the usefulness of our results in a problem of social discounting. (C) 2013 Elsevier Inc. All rights reserved.