### Abstract

Original language | English |
---|---|

Pages (from-to) | 277-316 |

Journal | Journal of Economic and Social Measurement |

Volume | 37 |

Publication status | Published - 2012 |

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### Cite this

*Journal of Economic and Social Measurement*,

*37*, 277-316.

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*Journal of Economic and Social Measurement*, vol. 37, pp. 277-316.

**Bayesian integration of large SNA data frameworks with an application to Guatemala.** / Van Tongeren, J.W.; Magnus, J.R.

Research output: Contribution to journal › Article › Scientific › peer-review

TY - JOUR

T1 - Bayesian integration of large SNA data frameworks with an application to Guatemala

AU - Van Tongeren, J.W.

AU - Magnus, J.R.

PY - 2012

Y1 - 2012

N2 - In searching for an appropriate utility function in the expected utility framework, we formulate four properties that we want the utility function to satisfy. We conduct a search for such a function, and we identify Pareto utility as a function satisfying all four desired properties. Pareto utility is a flexible yet simple and parsimonious two-parameter family. It exhibits decreasing absolute risk aversion and increasing but bounded relative risk aversion. It is applicable irrespective of the probability distribution relevant to the prospect to be evaluated. Pareto utility is therefore particularly suited for catastrophic risk analysis. A new and related class of generalized exponential (gexpo) utility functions is also studied. This class is particularly relevant in situations where absolute risk tolerance is thought to be concave rather than linear.

AB - In searching for an appropriate utility function in the expected utility framework, we formulate four properties that we want the utility function to satisfy. We conduct a search for such a function, and we identify Pareto utility as a function satisfying all four desired properties. Pareto utility is a flexible yet simple and parsimonious two-parameter family. It exhibits decreasing absolute risk aversion and increasing but bounded relative risk aversion. It is applicable irrespective of the probability distribution relevant to the prospect to be evaluated. Pareto utility is therefore particularly suited for catastrophic risk analysis. A new and related class of generalized exponential (gexpo) utility functions is also studied. This class is particularly relevant in situations where absolute risk tolerance is thought to be concave rather than linear.

M3 - Article

VL - 37

SP - 277

EP - 316

JO - Journal of Economic and Social Measurement

JF - Journal of Economic and Social Measurement

SN - 0747-9662

ER -