chair_scor
SCOR supports two scientific chairs in the Toulouse Scool of Economics.
 
The SCOR Chair "Market Risk and Value Creation" aims to support the theoretical and applied research on Risk sharing mechanisms with the willingness to combine methodologies from financial economics, industrial organization and econometrics.
 
The SCOR Chair "Jean-Jacques Laffont" specialises on applied financial economics.
 
 

 

scorpapers7May 2016
Explaining rank-dependent utility with regret and rejoicing
Christian Gollier

IDEI Working Paper, n°863


We fill a gap in the literature by formally defining the notion of aversion to risk of regret. An agent is sensitive to regret when her ex-post utility depends upon the forgone best payoff. An increase in the risk of regret occurs when the actual payoff and this best alternative become statistically less concordant. Accordingly, regret-risk aversion is characterized by the supermodularity of the bivariate utility function. We define a measure of regret-risk aversion in the small and in the large. We show that more regretrisk- averse agents are more willing to choose the risky act in a one-risky-one-safe menu, and that this bias is increasing in the skewness of the risky choice. This can explain the "possibility effect" that is well documented in decision theory. Symmetrically, we define the aversion to elation-risk that can prevail when the ex-post utility is alternatively sensitive to the forgone worst payoff. We show that elation-risk-seeking can explain the "certainty effect". We also show that a regret-risk-averse and elation-risk-seeking people behave as if they would have rank-dependent utility preferences with an inverse-S shaped probability weighting function that reproduces estimations existing in the literature.

 

scorpapers7March 2016
Taxing pensions
Helmuth Cremer and Pierre Pestieau

IDEI Working Paper, n°859


There exists a wide variety of tax treatments of pensions across the world. And the reasons for such a range of regimes are not clear. This note reviews the general principles of pension taxes and analyses the theoretical foundations of why pension incomes ought to be taxed specifically. To do this, one has to distinguish between public and private pensions. The design of public pensions cannot be separated from the one of taxation. Regarding private pensions, the key issue is whether or not pension saving ought to be treated differently from other forms of saving.

 

scorpapers7August 2015
Earmarking and the political support of fat taxes
Helmuth Cremer, Catarina Goulão, and Kerstin Roeder

IDEI Working Paper, n°855


A fat and a healthy good provide immediate gratification, and cause health costs or benefits in the long run, which are misperceived. Additionally, the fat good (healthy good) increases (decreases) health care costs by increasing (decreasing) the probability of suffering from a chronic disease in the future. Individuals differ in income and in their degree of misperceptions concerning the health effects of the consumption of fat and of healthy goods. The level of the fat tax is determined through majority voting. Individuals vote according to their misperceived utility function. Consequently, excessive fat consumption is not due to a self-control problem but due to information deficiencies or cognitive inability to process information. A fraction of the fat tax proceeds is “earmarked” to reduce health insurance premiums while the remaining fraction finances a subsidy on the healthy good. This earmarking rule is determined at a constitutional stage to maximize utilitarian or Rawlsian welfare, anticipating the induced political equilibrium. We show that the fat tax in the political equilibrium is always lower than the utilitarian fat tax. This is no longer necessarily true with a Rawlsian objective. The determination of the optimal earmarking rule is quite complex. Even in the utilitarian case, it is not just used to boost political support for the fat tax. Instead, it may involve a tradeoff between the fat tax and the healthy good subsidy.

 

scorpapers7July 2015
Social long-term care insurance with two-sided altruism
Helmuth Cremer, Pierre Pestieau and Kerstin Roeder

IDEI Working Paper, n°852


This paper studies the design of a social long-term care (LTC) insurance when altruism is two-sided. The laissez-faire solution is not efficient, unless there is perfect altruism. Under full information, the rst-best can be decentralized by a linear subsidy on informal aid, a linear tax on bequests when the parent is dependent and state specic lump-sum transfers which provide insurance. We also study a second-best scheme comprising a LTC benet, a payroll tax on childrens earnings and an inheritance tax. This scheme redistributes resources across individuals and between the states of nature and the tax on childrens labor enhances informal care to compensate for the childrens possible less than full altruism.

 

Market Risk and Value Creation

 

May 2015
The political choice of social long term care transfers when family gives time and money
Philippe De Donder and Marie-Louise Leroux

IDEI Working Paper, n°848

 

March 2015

Integrating profitability prospects and cash management
Jean-Paul Décamps and Stéphane Villeneuve

IDEI Working Paper, n°849

 

February 2015

Household bargaining and the design of couples’ income taxation
Helmuth Cremer, Jean‐Marie Lozachmeur, Dario Maldonado and Kerstin Roeder

IDEI Working Paper, n°844

 

February 2015

Financial reporting and market efficiency with extrapolative investors
Milo Bianchi and Philippe Jehiel

Journal of Economic Theory, 2015

 

December 2014

Eliciting ambiguity aversion in unknown and in compound lotteries: A KMM experimental approach
Giuseppe Marco Attanasi, Christian Gollier, Aldo Montesano and Noémie Pace

Theory and Decision, vol. 77, n°4, décembre 2014, p. 485-530

Working Paper IDEI/744 (October 2012)

 

November 2014

The Long and the Short of the Risk-Return Trade-Off
Marco Bonomo, René Garcia, Nour Meddahi and Roméo Tédongap

 

October 2014
Moment-Based Tests for Discrete Distributions
Christian Bontemps
IDEI Working Paper, n°772 

 

October 2014
Multiple Contracting in Insurance Markets: Cross‐Subsidies and Quantity Discounts
Andrea Attar, Thomas Mariotti and François Salanié

IDEI Working Paper, n. 839

 

September 2014

Long term care and capital accumulation: the impact of the State, the market and the family
Chiara Canta, Pierre Pestieau and Emmanuel Thibault

Economic Theory, Springer Berlin / Heidelberg, vol. 61, n. 4, April 2016, pp. 755–785

IDEI Working Paper, n. 837

September 2014
Cyclicality and term structure of Value-at-Risk within a threshold autoregression setup
Frédérique Bec and Christian Gollier

IDEI Working Paper, n. 835

September 2014
Bootstrapping pre-averaged realized volatility under market microstructure noise
Ulrich Hounyo, Silvia Gonçalves and Nour Meddahi

 

July 2014

Transfers within a three generations family: when the rotten kids turn into altruistic parents
Helmuth Cremer et Kerstin Roeder

Economics Letters, vol. 124, Elsevier, juillet 2014, p. 392-395

Working Paper TSE/497 (May 2014)

 

June 2014

Private, social and self insurance for longterm care: a political economy analysis

Philippe De Donder and Pierre Pestieau

IDEI Working Paper, n°719, décembre 2011, révision juin 2014

 

June 2014
Gamma discounters are short-termist
Christian Gollier

IDEI Working Paper, n°828, juin 2014

 

May 2014
Life expectancy heterogeneity and the political support for collective annuities
Helmuth Cremer et Philippe De Donder

Economics Letters, vol. 124, Elsevier, juillet 2014, p. 392-395

Working Paper TSE/497 (May 2014)

 

May 2014

Means-tested long term care and family transfers

Helmuth Cremer and Pierre Pestieau

Working Paper, n°826

 

April 2014

On Competitive Nonlinear Pricing

Andrea Attar, Thomas Mariotti and François Salanié

 

April 2014

Deadly Embrace: Sovereign and Financial Balance Sheets Doom Loops

Emmanuel Farhi et Jean Tirole

 

March 2014
Time-Aggregation Effects on Estimating Asset Pricing Models
Imen Ghattassi and Nour Meddahi
TSE Working Paper

 

March 2014

Optimal Liquidity management and Hedging in the presence of a Non-Predictable Investment Opportunity

Stéphane Villeneuve and Xavier Warin

Mathematics and Financial Economics, vol. 8, n°2, mars 2014, p. 193-227

Working Paper: October 2013

 

January 2014

The long run discount rate controversy
Christian Gollier and James K. Hammitt

The Annual Review of Resource Economics, vol. 6, October 2014, pp. 273–295
This version: January 2014

 

January 2014

Rethinking Dynamic Capital Structure Models with Roll-Over Debt

Jean-Paul Décamps and Stéphane Villeneuve

Mathematical Finance, vol. 24, n°1, janvier 2014, p. 66-96

Working Paper: November 2011

 

January 2014

Rotten spouses, family transfers and public goods
Helmuth Cremer and Kerstin Roeder

IDEI Working Paper, n°822

 

January 2014

Asymmetric Weak GARCH Models and the Term Structure of News Impact Curves on Volatility and Skewness
Prosper Dovonon and Nour Meddahi

Working Paper, Toulouse school of Economics

 

January 2014

Competition in two-sided markets with common network externalities

David Bardey, Helmuth Cremer and Jean-Marie Lozachmeur

Review of Industrial Organization, vol. 44, 2014, p. 327-359.

Working Paper TSE 09-103, October 2010

 

January 2014

Non-exclusive Competition under Adverse Selection

Andrea Attar, Thomas Mariotti and François Salanié

Theoretical Economics, vol. 9, n°1, janvier 2014, p. 1-40

 

January 2014

United but (un)equal: human capital, probability of divorce and the marriage contract
Helmuth Cremer, Pierre Pestieau and Kerstin Roeder

Journal of Population Economics, vol. 28, n°1, January 2015

IDEI Working Paper, n°755, November 2012

 

December 2013

The Effect of Ambiguity Aversion on Insurance Demand
David Alary, Christian Gollier and Nicolas Treich
The Economic Journal, vol. 123, n°573, décembre 2013, p. 1188-1202

Working Paper June 2010

 

December 2013

Long-term care policy, myopia and redistribution

Helmuth Cremer and Kerstin Roeder

Journal of Public Economics, vol. 108, 2013, p. 33-43

Working Paper TSE 12/314, November 2012

 

December 2013

The economics of Long-Term Care: A survey

Helmuth Cremer, Pierre Pestieau and Grégory Ponthieres

Nordic Economic Policy Review, vol. 2, 2013, p. 107-148

Ecore Discussion Paper 2012/56, June 2012

 

November 2013

Physical Activity and Policy Recommendations: a Social Multiplier Approach

Catarina Goulão et Emmanuel Thibault

The B. E. Journal of Economic Analysis & Policy (Advances), vol. 13, n°2, novembre 2013, p. 577-612

Working Paper TSE-414, June 2013

 

October 2013

Discounting and Growth 

Christian Gollier

American Economic Review Papers & Proceedings 104 (5), p 534-537

 

October 2013
Risk and choice: A research saga
Christian Gollier, James K. Hammitt et Nicolas Treich
Journal of Risk and Uncertainty, vol. 47, n°2, octobre 2013, p. 129-145
Working Paper: July 2013

 

October 2013
Liquid Bundles
Emmanuel Farhi and Jean Tirole
IDEI Working Paper, n°736

 

Septembre 2013
Should a Declining Discount Rate Be Used in Project Analysis?
Kenneth J. Arrow, Maureen Cropper, Christian Gollier, Ben Groom, Geoffrey Heal, R. Newell, William D. Nordhaus, R. Pindyck, W. Pizer, P. Portney, Thomas Sterner, R. Tol and Martin L. Weitzman

Review of Environmental Economics and Policy, Vol 8, p. 145-163

 

August 2013
Long-term care and lazy rotten kids
Helmuth Cremer and Kerstin Roeder
IDEI Working Paper, n°789

 

August 2013
Bootstrap Inference for Pre-Averaged Realized Volatility Based on Non-Overlapping Returns

Silvia Goncalves, Ulrich Hounyo and Nour Meddahi

 

August 2013
Migration and Social Insurance
Helmuth Cremer et Catarina Goulão
Louvain Economic Review - Recherches Economiques de Louvain, vol. 80, 2014, p. 5-29

 

July 2013
The relevance and the limits of the Arrow-Lind Theorem
Luc Baumstark et Christian Gollier

 

July 2013
Endogenous altruism, redistribution, and long term care
Helmuth Cremer, Firouz Gahvari and Pierre Pestieau
The B. E. Journal of Economic Analysis & Policy (Advances), vol. 14, n°2, juillet 2013, p. 499-524
Working Paper n°768, March 2013

 

July 2013
Eliciting Beliefs: Proper Scoring Rules, Incentives, Stakes and Hedging
Olivier Armantier and Nicolas Treich
European Economic Review, vol. 62, Elsevier, 2013, p. 17-40
Working Paper: April 2010

 

July 2013
Behavioral Biases and Long Term Care Annuities: A Political Economy Approach
Philippe De Donder and Marie-Louise Leroux
The B. E. Journal of Economic Analysis & Policy (Advances), vol. 14, n°2, juillet 2013, p. 551-575
Working Paper, February 2013

April 2013
Long term care insurance and family norms
Chiara Canta and Pierre Pestieau
The B. E. Journal of Economic Analysis & Policy (Advances), vol. 14, n°2, avril 2013, p. 401-428

 

March 2013
A theory of rational short-termism with uncertain betas
Christian Gollier
IDEI Working Paper, n°771

 

January 2013

Optimal insurance design of ambiguous risks
Christian Gollier

Economic Theory 57 (3), p. 555-576, November 2014
IDEI Working Paper, n°718

 

January 2013
Bootstrapping Realized Multivariate Volatility Measures
Prosper Donovon, Silvia Goncalves and Nour Meddahi
Journal of Econometrics, vol. 172, n°1, janvier 2013, p. 49-65
Working Paper: July 2010

 

December 2012
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
Peter Christoffersen, Bruno Fenou, Kris Jacobs and Nour Meddahi
Journal of Financial and Quantitative Analysis 49, 663-697

 

December 2012

Accidental bequests: a curse for the rich and a boon for the poor
Helmuth Cremer, Firouz Gahvari and Pierre Pestieau

The Scandinavian Journal of Economics, vol. 114, n°4, décembre 2012, p. 1437-1459

Working Paper: July 2011 

 

November 2012
Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
Christian Gollier
IDEI Working Paper, n°754

November 2012
Asset pricing with uncertain betas: A long-term perspective
Christian Gollier
IDEI Working Paper, n°752

August 2012
Heterogeneous Beliefs and Prediction Market Accuracy
Xue-Zhong He and Nicolas Treich
IDEI Working Paper, n°775

July 2012
Ambiguous Life Expectancy and the Demand for Annuities
Hippolyte d'Albis and Emmanuel Thibault

IDEI Working Paper, n°731

June 2012
Risk Attitude, Beliefs Updating and the Information Content of Trades: An Experiment

Christophe Bisière, Jean-Paul Décamps et Stefano Lovo

Management Science
IDEI Working Paper, n°552, May 2012

May 2012

Optimal annuitization, uncertain survival probabilities, and maxmin preference

Hippolyte d'Albis and Emmanuel Thibault
Economics Letters, vol. 115, n°2, Elsevier, mai 2012, p. 296-299
Working Paper: December 2011

 

March 2012
A Mind is a Terrible Thing to Change: Confirmation Bias in Financial Markets
Sébastien Pouget and Stéphane Villeneuve
IDEI Working Paper, n°720

February 2012
Collective Moral Hazard, Maturity Mismatch and Systemic Bailouts
Emmanuel Farhi and Jean Tirole
American Economic Review, vol. 102, février 2012, p. 60-93
Working Paper: February 2011

 

February 2012
The Euro Crisis: Some Reflexions on Institutional Reform
Jean Tirole
Financial Stability Review, vol. 16, février 2012, p. 225-242

 

July 2011

Non-Exclusive Competition under Adverse Selection

Andrea Attar, Thomas Mariotti and François Salanié

 

July 2011
On the Underestimation of the Precautionary Effect in Discounting
Christian Gollier
The Geneva Risk and Insurance Review, vol. 36, 2011, p. 95-111

 

June 2011
Bubbly Liquidity

Emmanuel Farhi et Jean Tirole
The Review of Economic Studies, vol. 79, n°2, 2012, p. 678-706

June 2011
Illiquidity and All Its Friends
Jean Tirole
Journal of Economic Literature, vol. 49, n°2, juin 2011, p. 287-325

May 2011

Portfolio choices and asset prices: The comparative statics of ambiguity aversion

Christian Gollier

 

May 2011

Should we discount the far-distant future at its lowest possible rate ? 

Christian Gollier

 

February 2011
Testing Distributional Assumptions: A GMM Approach
Christian Bontemps et Nour Meddahi
Journal of Applied Econometrics, vol. 27, n°6, septembre 2012, p. 978-1012

February 2011
Necessary and Sufficient Conditions for Prediction Market Accuracy
Xue-Zhong He and Nicolas Treich

October 2010
Liquidity Management and Corporate Demand for Hedging and Insurance
Jean-Charles Rochet and Stéphane Villeneuve
Journal of Financial Intermediation, vol. 3, 2011, p. 300-323

April 2010
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices
Marco Bonomo, René Garcia, Nour Meddahi and Roméo Tédongap
The Review of Financial Studies, vol. 24, n°1, 2011, p. 82-122

June 2010
Ecological Discounting
Christian Gollier
Journal of Economic Theory, vol. 145, n°2, mars 2010, p. 812-829

 

June 2010

Expected net present value, expected net future value, and the Ramsey rule
Christian Gollier


January 2010
Large Risks, Limited Liability, and Dynamic Moral Hazard
Bruno Biais, Thomas Mariotti, Jean-Charles Rochet and Stéphane Villeneuve
Econometrica, vol. 78, n°1, janvier 2010, p. 73-118
Working Paper: September 2009

 

November 2009

How Should the Distant Future be Discounted When Discount Rates are Uncertain ?
Christian Gollier and Martin L. Weitzman

 


 

Top of page