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  1. Estimation and comparison between rank-dependent expected utility, cumulative prospect theory and quantum decision theory
    Autor*in: Ferro, Giuseppe; Kovalenko, Tatyana; Sornette, Didier
    Erschienen: 2021
    Verlag:  Swiss Finance Institute, Geneva

    We propose a new parametrization of Quantum Decision Theory (QDT), based on Rank Dependent Utility Theory (RDU). Using experimental data made of choices between pairs of lotteries, we compare QDT with "classical" decision theories, RDU and Cumulative... mehr

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    Standort:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 544
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    We propose a new parametrization of Quantum Decision Theory (QDT), based on Rank Dependent Utility Theory (RDU). Using experimental data made of choices between pairs of lotteries, we compare QDT with "classical" decision theories, RDU and Cumulative Prospect Theory (CPT). At the aggregate level, calibrating together all decisions performed by all subjects (representative agent approach), we find that CPT-based QDT outperforms, with the quantum models always improving their classical counterpart. At the individual level, adopting a hierarchical maximum likelihood estimation to avoid overfitting, we classify decision makers as either RDU, RDU-based QDT, CPT or CPT-based QDT. Our major findings are the following: the quantum attraction factor plays a key role in describing subjects’ behaviors; there is a considerable heterogeneity across subjects, at odds with the representative agent approach; RDU and RDU-based QDT describe a larger fraction of subjects than CPT and CPT-based QDT, again at odds with the conclusion using the representative agent approach; a temporal stability of asset integration attitudes is found for a good fraction of the subjects; another significant fraction of subjects may be using mixtures of mental models, which are elicited selectively depending on the nature of the presented choice alternatives

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Schriftenreihe: Research paper series / Swiss Finance Institute ; no 21, 49
    Schlagworte: choice under risk; quantum decision theory; rank-dependentutility theory; cumulative prospect theory
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  2. Demand for multi-year catastrophe insurance contracts
    experimental evidence for mitigating the insurance gap
    Autor*in: Dudek, Thomas; Ulm, Eric R.; Noy, Ilan
    Erschienen: November 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    People often fail to insure against catastrophes, even when insurance is subsidized. Even when insuring homes, many homeowners still underinsure the full value of their assets. Some researchers have suggested using long-term insurance contracts to... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63
    Fernleihe:
    keine Fernleihe

     

    People often fail to insure against catastrophes, even when insurance is subsidized. Even when insuring homes, many homeowners still underinsure the full value of their assets. Some researchers have suggested using long-term insurance contracts to reduce these insurance gaps. We examine insurance decisions in a computer-administered experiment that makes several contributions to our understanding of insurance decisions. First, we provide additional evidence showing that many people prefer long-term insurance. Offering this type of insurance may thus increase insurance penetration. Second, we find that underinsurance can result from the reluctance to update the sum insured if there are costs involved with this updating. Long-term insurance contracts that automatically consider price changes over time can thus also deliver a reduction in the insurance gap. Third, we find that once people have made a decision, they tend to repeat it, demonstrating a strong preference for the status quo. Our research suggests that using this status quo bias may allow insurance companies to further increase insurance demand. As previously demonstrated, our results confirm that subsidies are ineffective in increasing insurance penetration.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/248987
    Schriftenreihe: CESifo working paper ; no. 9442 (2021)
    Schlagworte: individual decision-making; choice under risk; disaster insurance; underinsurance; status quo; subsidies
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  3. Quantifying lottery choice complexity
    Autor*in: Enke, Benjamin; Shubatt, Cassidy
    Erschienen: September 2023
    Verlag:  CESifo, Munich, Germany

    We develop interpretable, quantitative indices of the objective and subjective complexity of lottery choice problems that can be computed for any standard dataset. These indices capture the predicted error rate in identifying the lottery with the... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 63
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    We develop interpretable, quantitative indices of the objective and subjective complexity of lottery choice problems that can be computed for any standard dataset. These indices capture the predicted error rate in identifying the lottery with the highest expected value, where the predictions are computed as convex combinations of choice set features. The most important complexity feature in the indices is a measure of the excess dissimilarity of the cumulative distribution functions of the lotteries in the set. Using our complexity indices, we study behavioral responses to complexity out-of-sample across one million decisions in 11,000 unique experimental choice problems. Complexity makes choices substantially noisier, which can generate systematic biases in revealed preference measures such as spurious risk aversion. These effects are very large, to the degree that complexity explains a larger fraction of estimated choice errors than proximity to indifference. Accounting for complexity in structural estimations improves model fit substantially.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/279395
    Schriftenreihe: CESifo working papers ; 10644 (2023)
    Schlagworte: complexity; choice under risk; cognitive uncertainty; experiments
    Umfang: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  4. Skewness preferences
    evidence from online poker
    Autor*in: Dertwinkel-Kalt, Markus; Kasinger, Johannes; Schneider, Dmitrij
    Erschienen: February 2024
    Verlag:  CESifo, Munich, Germany

    We test for skewness preferences in a large set of observational panel data on online poker games (n=4,450,585). Each observation refers to a choice between a safe option and a binary risk of winning or losing the game. Our setting offers a... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63
    Fernleihe:
    keine Fernleihe

     

    We test for skewness preferences in a large set of observational panel data on online poker games (n=4,450,585). Each observation refers to a choice between a safe option and a binary risk of winning or losing the game. Our setting offers a real-world choice situation with substantial incentives where probability distributions are simple, transparent, and known to the decision-makers. Individuals reveal a strong and robust preference for skewness, which is inconsistent with expected utility theory. The effect of skewness is most pronounced among experienced and unsuccessful players but remains significant in all subsamples that we investigate, in contrast to the effect of variance.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/296066
    Schriftenreihe: CESifo working papers ; 10977 (2024)
    Schlagworte: risk preferences; choice under risk; skewness; gambling
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen