chair_scor
SCOR soutient deux chaires scientifiques à la Toulouse Scool of Economics.
 
Le but de la Chaire SCOR "Market Risk and Value Creation" est de mener une recherche à la fois théorique et appliquée sur les mécanismes de partage du risque avec la volonté de combiner les méthodologies issues de l’économie financière, l’économie industrielle et de l’économétrie.
 
La Chaire SCOR "Jean-Jacques Laffont" est spécialisée en économie financière appliquée.
 
 

 

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

 

Février 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

 

Février 2015

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

Journal of Economic Theory, 2015

 

Décembre 2014

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

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

Working Paper IDEI/744 (October 2012)

 

Septembre 2014

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

IDEI Working Paper, n. 837

 

Septembre 2014

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

IDEI Working Paper, n. 835

 

Juillet 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 (Mai 2014)

 

Juin 2014

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

Philippe De Donder et Pierre Pestieau

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

 

Juin 2014
Gamma discounters are short-termist
Christian Gollier

IDEI Working Paper, n°828, juin 2014

 

Mai 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

Mai 2014

Means-tested long term care and family transfers

Helmuth Cremer et Pierre Pestieau

Working Paper, n°826

 

Avril 2014

On Competitive Nonlinear Pricing

Andrea Attar, Thomas Mariotti et François Salanié

 

Avril 2014

Deadly Embrace: Sovereign and Financial Balance Sheets Doom Loops

Emmanuel Farhi et Jean Tirole

 

Mars 2014

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

Stéphane Villeneuve et Xavier Warin

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

Working Paper : octobre 2013

  

Janvier 2014

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

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

 

Janvier 2014

Rethinking Dynamic Capital Structure Models with Roll-Over Debt

Jean-Paul Décamps et Stéphane Villeneuve

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

Working Paper : novembre 2011

 

Janvier 2014

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

IDEI Working Paper, n°822

 

Janvier 2014

Competition in two-sided markets with common network externalities

David Bardey, Helmuth Cremer et Jean-Marie Lozachmeur

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

Working Paper TSE 09-103, October 2010

 

Janvier 2014

Non-exclusive Competition under Adverse Selection

Andrea Attar, Thomas Mariotti et François Salanié

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

 

Janvier 2014

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

Journal of Population Economics, 2014

IDEI Working Paper, n°755, novembre 2012

 

Décembre 2013

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

Working Paper juin 2010

 

Décembre 2013

Long-term care policy, myopia and redistribution

Helmuth Cremer et Kerstin Roeder

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

Working Paper TSE 12/314, novembre 2012

 

Décembre 2013

The economics of Long-Term Care: A survey

Helmuth Cremer, Pierre Pestieau et Grégory Ponthieres

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

Ecore Discussion Paper 2012/56, juin 2012

 

Novembre 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, juin 2013

 

Octobre 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: juillet 2013

 

Octobre 2013
Liquid Bundles
Emmanuel Farhi et 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 et Martin L. Weitzman

 

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

 

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

Silvia Goncalves, Ulrich Hounyo et Nour Meddahi

 

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

 

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

 

Juillet 2013
Endogenous altruism, redistribution, and long term care
Helmuth Cremer, Firouz Gahvari et 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

 

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

 

Juillet 2013
Behavioral Biases and Long Term Care Annuities: A Political Economy Approach
Philippe De Donder et 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

 

Avril 2013
Moment-Based Tests for Discrete Distributions
Christian Bontemps
IDEI Working Paper, n°772

 

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

 

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

 

Mars 2013
Endogenous altruism, redistribution, and long term care
Helmuth Cremer, Firouz Gahvari et Pierre Pestieau
IDEI Working Paper, n°768

 

Janvier 2013
Optimal insurance design of ambiguous risks

Christian Gollier

 

Economic Theory 57 (3), p. 555-576, novembre 2014

IDEI Working Paper, n°718

 

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

 

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

 

Décembre 2012

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

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

Working Paper : juillet 2011 

 

Décembre 2012
Time-Aggregation Effects on Estimating Asset Pricing Models
Imen Ghattassi et Nour Meddahi

 

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

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

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

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

IDEI Working Paper, n°731

Juin 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, mai 2012

Mai 2012

Optimal annuitization, uncertain survival probabilities, and maxmin preference

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

 

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

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

 

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

 

Juillet 2011

Non-Exclusive Competition under Adverse Selection

Andrea Attar, Thomas Mariotti et François Salanié

 

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

 

Juin 2011
Bubbly Liquidity

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

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

Mai 2011

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

Christian Gollier

 

Mai 2011

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

Christian Gollier

 

Février 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

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

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

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

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

 

Juin 2010

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


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

 

Novembre 2009

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

 


 

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