@techreport{fddee215edea4800ba72d1848113d888,

title = "Burr Utility",

abstract = "This note proposes the Burr utility function. Burr utility is a flexible two-parameter family that behaves approximately power-like (CRRA) remote from the origin, while exhibiting exponential-like (CARA) features near the origin. It thus avoids the extreme behavior of the power family near the origin. We show how to characterize Burr utility as a special case in the general class of utility functions with non-increasing and convex absolute risk aversion, and non-decreasing and concave relative risk aversion. We further show its connection to the Burr probability distribution. A related class of generalized exponential utility functions is also studied.",

keywords = "Cardinal scale, Utility function, Harmonic absolute risk aversion (HARA), Exponential utility, Power utility",

author = "M. Ikefuji and R.J.A. Laeven and J.R. Magnus and C.H.M. Muris",

note = "Pagination: 14",

year = "2010",

language = "English",

volume = "2010-81",

series = "CentER Discussion Paper",

publisher = "Econometrics",

type = "WorkingPaper",

institution = "Econometrics",

}