A Theoretical and Experimental Appraisal of Five Risk Elicitation Methods

30 Pages Posted: 19 Apr 2013

See all articles by Paolo Crosetto

Paolo Crosetto

Grenoble Applied Economics Laboratory

Antonio Filippin

Università degli Studi di Milano; IZA Institute of Labor Economics

Multiple version iconThere are 2 versions of this paper

Date Written: April 1, 2013

Abstract

We perform a comparative analysis of five incentivized tasks used to elicit risk preferences. Theoretically, we compare the elicitation methods in terms of completeness of the range of the estimates as well as their precision, the likelihood of triggering loss aversion, and problems arising when multiple choices are required. Using original data from a homogeneous population, we experimentally investigate the distribution of estimated risk preferences, whether they differ by gender, and the complexity of the tasks. We do so using both non-parametric tests and a structural model estimated with maximum likelihood. We find that the estimated risk aversion parameters vary greatly across tasks and that gender differences appear only when the task is more likely to trigger loss aversion.

Keywords: Risk attitudes, Elicitation methods, Experiment

JEL Classification: C81, C91, D81

Suggested Citation

Crosetto, Paolo and Filippin, Antonio, A Theoretical and Experimental Appraisal of Five Risk Elicitation Methods (April 1, 2013). SOEPpaper No. 547. Available at SSRN: https://ssrn.com/abstract=2253819 or http://dx.doi.org/10.2139/ssrn.2253819

Paolo Crosetto (Contact Author)

Grenoble Applied Economics Laboratory ( email )

BP 47
38040 Grenoble
France

Antonio Filippin

Università degli Studi di Milano ( email )

Milan, 20122
Italy

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

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