RT info:eu-repo/semantics/article
T1 An agent-based model of rational optimism
A1 Gutiérrez Díez, Pedro José
K1 Agent-based stochastic model
K1 Dynamical optimisation in economics
K1 General equilibrium model
K1 Arrow-Debreu securities
K1 Subjective probabilities
K1 Rationality
K1 Optimism bias
K1 Game theory
AB We prove that, in standard insurance markets, rational agents havean incentive to choose as subjective probabilities those incurring in anoptimism bias, since they imply real and objective net gains. Our agent-basedmodel of insurance markets thus clarifies how rational optimism naturallyappears and persists in insurance markets, opening up the possibility to explainthe optimism bias observed in other environments on the basis of the theory ofsalient perturbations. Our findings are consistent with the empirical evidenceshowing a systematic and coherent moderate optimism bias of agents in theassessment of probabilities.
PB Inderscience
SN 1466-8297
YR 2018
FD 2018
LK http://uvadoc.uva.es/handle/10324/37803
UL http://uvadoc.uva.es/handle/10324/37803
LA spa
NO International Journal of Risk Assessment and Management, 2018 Vol.21 No.3, pp.155 - 183
DS UVaDOC
RD 23-dic-2024