Relative risk aversion around the world |
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| Affiliation: | 1. School of Government Audit, Nanjing Audit University, Nanjing, JS 211815, China;2. School of Computer Science, University of Manchester, Manchester, M13 9PL, UK;3. Business School, Sichuan University, Chengdu, SC 610064, China |
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| Abstract: | In this letter the hypothesis of constant relative risk aversion is examined for 15 countries, using property/liability insurance data. For more than half the cases it is shown that CRRA can not be rejected. Following that, the degree of relative risk aversion is estimated, and found to usually lie between one and two. |
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