A note on proper scoring rules and risk aversion

Economics Letters

Volumn 117, Issue 1, 2012, Pages 357-361

  Peysakhovich, Alexander ^a   Plagborg Møller, Mikkel ^a  

^a HARVARD UNIVERSITY   (United States)

Author keywords

Decision making; Risk aversion; Scoring rules

Indexed keywords

EID: 84862669048     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2012.05.030     Document Type: Article

References (10)

1. Bickel J.E. Some comparisons among quadratic, spherical, and logarithmic scoring rules. Decision Analysis 2007, 4(2):49-65.
2. Gneiting T., Raftery A.E. Strictly proper scoring rules, prediction, and estimation. Journal of the American Statistical Association 2007, 102:359-378.
3. Kadane J.B., Winkler R.L. Separating probability elicitation from utilities. Journal of the American Statistical Association 1988, 83(402):357-363.
4. Mas-Colell A., Whinston M.D., Green J.R. Microeconomic Theory 1995, Oxford University Press.
5. Miller N., Resnick P., Zeckhauser R. Eliciting informative feedback: the peer-prediction method. Management Science 2005, 51(9):1359-1373.
6. Offerman T., Sonnemans J., Kuilen G.V.D., Wakker P.P. A truth serum for non-Bayesians: correcting proper scoring rules for risk attitudes. Review of Economic Studies 2009, 76(4):1461-1489.
7. Peysakhovich, A., Plagborg-Møller, M., 2012, Proper scoring rules and risk aversion, SSRN eLibrary. URL http://ssrn.com/paper%3D2019078.
8. Savage L.J. Elicitation of personal probabilities and expectations. Journal of the American Statistical Association 1971, 66(336):783-801.
9. Winkler R.L. Scoring rules and the evaluation of probability assessors. Journal of the American Statistical Association 1969, 64(327):1073-1078.
10. Winkler R.L., Murphy A.H. Nonlinear utility and the probability score. Journal of Applied Meteorology 1970, 9:143-148.