@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",
}