Inference under stability of risk preferences

Artikel

We leverage the assumption that preferences are stable across contexts to partially identify and conduct inference on the parameters of a structural model of risky choice. Working with data on households' deductible choices across three lines of insurance coverage and a model that nests expected utility theory plus a range of non-expected utility models, we perform a revealed preference analysis that yields household-specific bounds on the model parameters. We then impose stability and other structural assumptions to tighten the bounds, and we explore what we can learn about households' risk preferences from the intervals defined by the bounds. We further utilize the intervals to (i) classify households into preference types and (ii) recover the single parameterization of the model that best fits the data. Our approach does not entail making distributional assumptions about unobserved heterogeneity in preferences.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 7 ; Year: 2016 ; Issue: 2 ; Pages: 367-409 ; New Haven, CT: The Econometric Society

Classification and Topics

• Classification: Wirtschaft

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Barseghyan, Levon ; Molinari, Francesca ; Teitelbaum, Joshua C.
• Event: Veröffentlichung
• (who): The Econometric Society
• (where): New Haven, CT
• (when): 2016

Further information

• DOI: doi:10.3982/QE511
• Handle: http://hdl.handle.net/10419/150412
• Last update: 10.03.2025, 11:42 AM CET