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Saving motives and multivariate precautionary premia

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  • Christophe Courbage

Abstract

This paper extends the concept of precautionary premium to a multivariate setting so as to measure the intensity of the precautionary saving motive to protect against multivariate risks. This makes it possible to disentangle and to link the various motives of precautionary saving depending on the configuration of the risks the individual wants to protect against. Copyright Springer-Verlag Italia 2014

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  • Christophe Courbage, 2014. "Saving motives and multivariate precautionary premia," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 385-391, October.
    • Handle: RePEc:spr:decfin:v:37:y:2014:i:2:p:385-391
    DOI: 10.1007/s10203-013-0149-7
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    References listed on IDEAS

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    1. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    2. Tullio Jappelli & Luigi Pistaferri & Guglielmo Weber, 2007. "Health care quality, economic inequality, and precautionary saving," Health Economics, John Wiley & Sons, Ltd., vol. 16(4), pages 327-346, April.
    3. Christophe Courbage & Béatrice Rey, 2007. "Precautionary saving in the presence of other risks," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(2), pages 417-424, August.
    4. Louis Eeckhoudt & Béatrice Rey & Harris Schlesinger, 2007. "A Good Sign for Multivariate Risk Taking," Management Science, INFORMS, vol. 53(1), pages 117-124, January.
    5. Christophe Courbage & Béatrice Rey, 2007. "Precautionary saving in the presence of other risks," Post-Print halshs-03353387, HAL.
    6. Dardanoni, Valentino & Wagstaff, Adam, 1990. "Uncertainty and the demand for medical care," Journal of Health Economics, Elsevier, vol. 9(1), pages 23-38, June.
    7. Christopher D. Carroll & Andrew A. Samwick, 1998. "How Important Is Precautionary Saving?," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 410-419, August.
    8. David Crainich & Louis Eeckhoudt, 2008. "On the intensity of downside risk aversion," Journal of Risk and Uncertainty, Springer, vol. 36(3), pages 267-276, June.
    9. Edwards, Ryan D, 2008. "Health Risk and Portfolio Choice," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 472-485.
    10. Michael G. Palumbo, 1999. "Uncertain Medical Expenses and Precautionary Saving Near the End of the Life Cycle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 66(2), pages 395-421.
    11. Fanny Demers & Michel Demers, 1991. "Multivariate Risk Aversion and Uninsurable Risks: Theory and Applications," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 16(1), pages 7-43, June.
    12. Gollier, Christian & Pratt, John W, 1996. "Risk Vulnerability and the Tempering Effect of Background Risk," Econometrica, Econometric Society, vol. 64(5), pages 1109-1123, September.
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    Cited by:

    1. Crainich, David & Eeckhoudt, Louis & Courtois, Olivier Le, 2020. "Intensity of preferences for bivariate risk apportionment," Journal of Mathematical Economics, Elsevier, vol. 88(C), pages 153-160.

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    More about this item

    Keywords

    Precautionary premium; Saving; Multivariate utility function; Prudence; Super-additivity; D81;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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