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Risk Aversion, Intertemporal Elasticity of Substitution and Correlation Aversion ∗†
, 2003
"... Intertemporal correlation aversion is an intuitive concept indicating whether an individual prefers lotteries concerning consumption at different moments in time to be positively or negatively correlated. I show that the difference between the coefficient of relative risk aversion and the inverse of ..."
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Cited by 16 (5 self)
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Intertemporal correlation aversion is an intuitive concept indicating whether an individual prefers lotteries concerning consumption at different moments in time to be positively or negatively correlated. I show that the difference between the coefficient of relative risk aversion and the inverse of the intertemporal elasticity of substitution is related, in a simple way, to the index of intertemporal correlation aversion.
Valuing Life under the Shadow of Death ∗†
"... This paper proposes an axiomatic formulation of preferences that rank lotteries involving lives of different lengths. Our axioms formalize two fundamental assumptions: preferences fulfill standard axioms of expected utility theory and are stationary. They lead to a class of utility functions that is ..."
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Cited by 2 (1 self)
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This paper proposes an axiomatic formulation of preferences that rank lotteries involving lives of different lengths. Our axioms formalize two fundamental assumptions: preferences fulfill standard axioms of expected utility theory and are stationary. They lead to a class of utility functions that is much larger than the set of additive utility functions. We discuss the theoretical properties of stationary preferences and explore their implications for life cycle behavior. The results lead to a fundamental reexamination of the role of mortality risks in intertemporal choices.
First and second order optimality conditions for optimal control problems of state constrained integral equations
 Inria, May 2012, n o RR7961
"... Abstract This paper deals with optimal control problems of integral equations, with initialfinal and running state constraints. The order of a running state constraint is defined in the setting of integral dynamics, and we work here with constraints of arbitrary high orders. First and secondorder ..."
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Abstract This paper deals with optimal control problems of integral equations, with initialfinal and running state constraints. The order of a running state constraint is defined in the setting of integral dynamics, and we work here with constraints of arbitrary high orders. First and secondorder necessary conditions of optimality are obtained, as well as secondorder sufficient conditions.
Mortality and LifeCycle Models ∗
, 2003
"... I compare two different ways of integrating mortality into lifecycle models: the standard additive model with time preferences, on the one hand, and a formulation that rules out the existence of time preference, but allows for risk aversion with respect to the length of life, on the other hand. The ..."
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Cited by 1 (0 self)
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I compare two different ways of integrating mortality into lifecycle models: the standard additive model with time preferences, on the one hand, and a formulation that rules out the existence of time preference, but allows for risk aversion with respect to the length of life, on the other hand. These models are of similar complexity, but rather different in their fundamental assumptions. I show, however, that the latter formulation can reproduce all the predictions of the additive models with nonnegative rates of time preference, as far as lifecycle behaviors under a single exogenous nondegenerate mortality pattern are considered. It leads, nonetheless, to radically different predictions for the effects of mortality changes.
Ecole Doctorale de Sciences Mathématiques de Paris Centre Par LiseMarie ImbertGérard pour obtenir le grade de
"... Analyse mathématique et numérique de problèmes d’ondes apparaissant dans les plasmas magnétiques Directeur de recherche: Bruno Després Soutenue le 9 septembre 2013 devant le jury composé de: Devant la commission d’examen formée de: M. Grégoire Allaire Pr à l’Ecole polytechnique examinateur M. Patric ..."
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Analyse mathématique et numérique de problèmes d’ondes apparaissant dans les plasmas magnétiques Directeur de recherche: Bruno Després Soutenue le 9 septembre 2013 devant le jury composé de: Devant la commission d’examen formée de: M. Grégoire Allaire Pr à l’Ecole polytechnique examinateur M. Patrick Ciarlet Pr à l’ENSTA ParisTech rapporteur
9 9 IS R N IN R IA /R R 7 9 6 1 F R E
, 2012
"... ProjectTeams Commands First and second order optimality conditions for optimal control problems of state constrained integral equations J. Frédéric Bonnans, Constanza de la Vega, Xavier Dupuis ha l0 ..."
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ProjectTeams Commands First and second order optimality conditions for optimal control problems of state constrained integral equations J. Frédéric Bonnans, Constanza de la Vega, Xavier Dupuis ha l0