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Self-insurance in the presence of transaction costs

Author

Listed:
  • Olivier Mahul

    (FUCAM - Facultés Universitaires Catholiques de Mons)

Abstract

L'auteur détermine le comportement optimal de prévention d'un producteur neutre vis-à-vis du risque quand sa fonction de richesse finale est discontinue. Cette discontinuité peut être due à l'existence de coûts de transaction fixes liés aux imperfections des marchés financiers. Les résultats standards de la théorie de l'utilité espérée, dans laquelle la fonction d'utilité est deux fois continûment dérivable, ne sont plus valides. La maximisation de l'espérance de cette fonction discontinue conduit le producteur à adopter du comportement "safety-first" : il choisit des stratégies qui lui évitent de payer ces coûts fixes. Bien qu'il soit neutre vis-à-vis du risque, il se comporte comme un agent risquophobe ou risquophile selon que sa richesse finale espérée est inférieure ou supérieure à un seuil critique. Il peut même refuser d'investir dans un actif dont le rendement net espéré est strictement positif.

Suggested Citation

  • Olivier Mahul, 1997. "Self-insurance in the presence of transaction costs," Post-Print hal-01952088, HAL.
    • Handle: RePEc:hal:journl:hal-01952088
    as

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