### Abstract

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

Place of Publication | Tilburg |

Publisher | Econometrics |

Number of pages | 14 |

Volume | 2010-81 |

Publication status | Published - 2010 |

### Publication series

Name | CentER Discussion Paper |
---|---|

Volume | 2010-81 |

### Fingerprint

### Keywords

- Cardinal scale
- Utility function
- Harmonic absolute risk aversion (HARA)
- Exponential utility
- Power utility

### Cite this

*Burr Utility*. (CentER Discussion Paper; Vol. 2010-81). Tilburg: Econometrics.

}

**Burr Utility.** / Ikefuji, M.; Laeven, R.J.A.; Magnus, J.R.; Muris, C.H.M.

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - Burr Utility

AU - Ikefuji, M.

AU - Laeven, R.J.A.

AU - Magnus, J.R.

AU - Muris, C.H.M.

N1 - Pagination: 14

PY - 2010

Y1 - 2010

N2 - 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.

AB - 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.

KW - Cardinal scale

KW - Utility function

KW - Harmonic absolute risk aversion (HARA)

KW - Exponential utility

KW - Power utility

M3 - Discussion paper

VL - 2010-81

T3 - CentER Discussion Paper

BT - Burr Utility

PB - Econometrics

CY - Tilburg

ER -