Hostname: page-component-7b9c58cd5d-dkgms Total loading time: 0 Render date: 2025-03-24T00:21:23.222Z Has data issue: false hasContentIssue false
  • English
  • Français

A theoretical and experimental appraisal of four risk elicitation methods

Published online by Cambridge University Press:  14 March 2025

Paolo Crosetto  and
Antonio Filippin
Paolo Crosetto*
Affiliation:
INRA and Univ. Grenoble Alpes, UMR 1215 GAEL, 38000 Grenoble, France
Antonio Filippin*
Affiliation:
DEMM, University of Milan, Via Conservatorio 7, 20122 Milano, Italy Institute for the Study of Labor (IZA), Schaumburg-Lippe-Str. 5-9, 53113 Bonn, Germany
*
[email protected]
[email protected]
Get access Rights & Permissions [Opens in a new window]

Abstract

The paper performs an in-depth comparison of four incentivised risk elicitation tasks. We show by means of a simulation exercise that part of the often observed heterogeneity of estimates across tasks is due to task-specific measurement error induced by the mere mechanics of the tasks. We run a replication experiment in a homogeneous subject pool using a between subjects one-shot design. Results shows that the task estimates vary over and above what can be explained by the simulations. We investigate the possibility the tasks elicit different types of preferences, rather than simply provide a different measure of the same preferences. In particular, the availability of a riskless alternative plays a prominent role helping to explain part of the differences in the estimated preferences.

Keywords

Risk attitudesElicitation methodsExperiment

JEL classification

C91: Laboratory, Individual Behavior D81: Criteria for Decision-Making under Risk and Uncertainty C81: Methodology for Collecting, Estimating, and Organizing Microeconomic Data • Data Access
Type
Original Paper
Information
Experimental Economics , Volume 19 , Issue 3 , September 2016 , pp. 613 - 641
Copyright
Copyright © 2015 Economic Science Association

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Footnotes

Electronic supplementary material The online version of this article (doi:https://doi.org/10.1007/s10683-015-9457-9) contains supplementary material, which is available to authorized users.

References

Abdellaoui, M, Driouchi, A, & L’Haridon, O (2011). Risk aversion elicitation: Reconciling tractability and bias minimization. Theory and Decision, 71, 63–80. 10.1007/s11238-009-9192-9CrossRefGoogle Scholar
Andersen, S, Harrison, G, Lau, M, & Rutström, E (2006). Elicitation using multiple price list formats. Experimental Economics, 9, 383–405. 10.1007/s10683-006-7055-6CrossRefGoogle Scholar
Anderson, LR, & Mellor, JM (2009). Are risk preferences stable? Comparing an experimental measure with a validated survey-based measure. Journal of Risk and Uncertainty, 39(2), 137–160. 10.1007/s11166-009-9075-zCrossRefGoogle Scholar
Andreoni, J., & Sprenger, C. (2011). Uncertainty equivalents: Testing the limits of the independence axiom. NBER Working Papers 17342, National Bureau of Economic Research, Inc.CrossRefGoogle Scholar
Andreoni, J, & Sprenger, C (2012). Risk preferences are not time preferences. American Economic Review, 102(7), 3357–76 10.1257/aer.102.7.3357CrossRefGoogle Scholar
Ball, S, Eckel, C, & Heracleous, M (2010). Risk aversion and physical prowess: Prediction, choice and bias. Journal of Risk and Uncertainty, 41(3), 167–193. 10.1007/s11166-010-9105-xCrossRefGoogle Scholar
Bardsley, N (2008). Dictator game giving: Altruism or artefact?. Experimental Economics, 11(2), 122–133. 10.1007/s10683-007-9172-2CrossRefGoogle Scholar
Barsky, RB, Juster, FT, Kimball, MS, & Shapiro, MD (1997). Preference parameters and behavioral heterogeneity: An experimental approach in the health and retirement study. The Quarterly Journal of Economics, 112(2), 537–579. 10.1162/003355397555280CrossRefGoogle Scholar
Becker, G, DeGroot, M, & Marschak, J (1964). Measuring utility by a single-response sequential method. Behavioral Science, 9, 226–236. 10.1002/bs.3830090304CrossRefGoogle ScholarPubMed
Binswanger, HP (1981). Attitudes toward risk: Theoretical implications of an experiment in rural India. The Economic Journal, 91(364), 867–890. 10.2307/2232497CrossRefGoogle Scholar
Blais, AR, & Weber, EU (2006). A domain-specific risk-taking (DOSPERT) scale for adult populations. Judgment and Decision Making, 1, 33–47.CrossRefGoogle Scholar
Bruner, D (2009). Changing the probability versus changing the reward. Experimental Economics, 12(4), 367–385. 10.1007/s10683-009-9219-7CrossRefGoogle Scholar
Camerer, CF, & Edwards, W (1992). Recent tests of generalizations of expected utility theory. Utility theories: Measurements and applications studies in risk and uncertainty, Boston, MA: Kluwer Academic Publishers 207–251. 10.1007/978-94-011-2952-7_9CrossRefGoogle Scholar
Charness, G, & Gneezy, U (2010). Portfolio choice and risk attitudes: An experiment. Economic Inquiry, 48(1), 133–146. 10.1111/j.1465-7295.2009.00219.xCrossRefGoogle Scholar
Charness, G, & Gneezy, U (2012). Strong evidence for gender differences in risk taking. Journal of Economic Behavior & Organization, 83(1), 50–58. 10.1016/j.jebo.2011.06.007CrossRefGoogle Scholar
Charness, G., & Viceisza, A. (2011). Comprehension and risk elicitation in the field: Evidence from rural Senegal. IFPRI discussion papers 1135, International Food Policy Research Institute (IFPRI).Google Scholar
Charness, G, Gneezy, U, & Imas, A (2013). Experiential methods: Eliciting risk preferences. Journal of Economic Behavior & Organization, 87, 43–51. 10.1016/j.jebo.2012.12.023CrossRefGoogle Scholar
Cox, JC, Roberson, B, & Smith, VL (1982). Theory and behavior of single object auctions, Greenwich: JAI Press.Google Scholar
Crosetto, P, & Filippin, A (2013). The ’bomb’ risk elicitation task. Journal of Risk and Uncertainty, 47(1), 31–65. 10.1007/s11166-013-9170-zCrossRefGoogle Scholar
Crosetto, P., & Filippin, A. (2014). Experimental evidence on the cause of gender differences in risk attitudes. Mimeo.Google Scholar
Croson, R, & Gneezy, U (2009). Gender differences in preferences. Journal of Economic Literature, 47(2), 448–474. 10.1257/jel.47.2.448CrossRefGoogle Scholar
Csermely, T., & Rabas, A. (2014). How to reveal people’s preferences: Comparing time consistency and predictive power of multiple price list risk elicitation methods. Department of economics working papers, Vienna University of Economics and Business, Department of Economics.Google Scholar
Dave, C, Eckel, C, Johnson, C, & Rojas, C (2010). Eliciting risk preferences: When is simple better?. Journal of Risk and Uncertainty, 41(3), 219–243. 10.1007/s11166-010-9103-zCrossRefGoogle Scholar
Deck, C., Lee, J., & Reyes, J. (2010) Personality and the consistency of risk taking behavior: Experimental evidence. Working Papers 10–17, Chapman University, Economic Science Institute.Google Scholar
Deck, C, Lee, J, Reyes, JA, & Rosen, CC (2013). A failed attempt to explain within subject variation in risk taking behavior using domain specific risk attitudes. Journal of Economic Behavior & Organization, 87, 1–24. 10.1016/j.jebo.2012.11.010CrossRefGoogle Scholar
Dohmen, T, Falk, A, Huffman, D, Sunde, U, Schupp, J, & Wagner, GG (2011). Individual risk attitudes: Measurement, determinants, and behavioral consequences. Journal of the European Economic Association, 9(3), 522–550. 10.1111/j.1542-4774.2011.01015.xCrossRefGoogle Scholar
Eckel, CC, & Grossman, PJ (2002). Sex differences and statistical stereotyping in attitudes toward financial risk. Evolution and Human Behavior, 23(4), 281–295. 10.1016/S1090-5138(02)00097-1CrossRefGoogle Scholar
Eckel, CC, & Grossman, PJ (2008). Forecasting risk attitudes: An experimental study using actual and forecast gamble choices. Journal of Economic Behavior & Organization, 68(1), 1–17. 10.1016/j.jebo.2008.04.006CrossRefGoogle Scholar
Eckel, C. C., & Grossman, P. J. (2008b). Men, women and risk aversion: Experimental evidence (Vol. 1, pp. 1061–1073, chap 113). Handbook of experimental economics results. Amsterdam: Elsevier.Google Scholar
Filippin, A., & Crosetto, P. (2015). A reconsideration of gender differences in risk attitudes. Management Science, forthcoming.Google Scholar
Garcia-Gallego, A., Georgantzis, N., Jaramillo-Gutiérrez, A., & Parravano, M. (2012). The lottery-panel task for bi-dimensional parameter-free elicitation of risk attitudes. Technical report, Department of Economic Theory and Economic History of the University of Granada.Google Scholar
Gneezy, U, & Potters, J (1997). An experiment on risk taking and evaluation periods. The Quarterly Journal of Economics, 112(2), 631–645. 10.1162/003355397555217CrossRefGoogle Scholar
Greiner, B. (2004). The online recruitment system ORSEE 2.0—A guide for the organization of experiments in economics. Working Paper Series in Economics 10, University of Cologne, Department of Economics.Google Scholar
Grossman, P. J., & Lugovskyy, O. (2011). An experimental test of the persistence of gender-based stereotypes. Economic Inquiry, 49(2), 598–611.CrossRefGoogle Scholar
Harbaugh, W, Krause, K, & Vesterlund, L (2010). The fourfold pattern of risk attitudes in choice and pricing tasks. The Economic Journal, 120(545), 595–611. 10.1111/j.1468-0297.2009.02312.xCrossRefGoogle Scholar
Harless, DW, & Camerer, CF (1994). The predictive utility of generalized expected utility theories. Econometrica, 62(6), 1251–1289. 10.2307/2951749CrossRefGoogle Scholar
Harrison, G, & Swarthout, J (2014). Experimental payment protocols and the bipolar behaviorist. Theory and Decision, 77(3), 423–438. 10.1007/s11238-014-9447-yCrossRefGoogle Scholar
Harrison, GW (1990). Risk attitudes in first-price auction experiments: A Bayesian analysis. The Review of Economics and Statistics, 72(3), 541–546. 10.2307/2109366CrossRefGoogle Scholar
Harrison, GW, Rutström, EE Cox, JC, & Harrison, GW (2008). Risk aversion in the laboratory. Risk aversion in experiments, research in experimental economics, Bradford: Emerald Group Publishing Limited 41–196. 10.1016/S0193-2306(08)00003-3Google Scholar
Harrison, GW, Lau, MI, & Rutström, EE (2007). Estimating risk attitudes in Denmark: A field experiment. Scandinavian Journal of Economics, 109(2), 341–368. 10.1111/j.1467-9442.2007.00496.xCrossRefGoogle Scholar
Hey, JD, & Orme, C (1994). Investigating generalizations of expected utility theory using experimental data. Econometrica, 62(6), 1291–1326. 10.2307/2951750CrossRefGoogle Scholar
Holt, C, & Laury, S (2002). Risk aversion and incentive effects. American Economic Review, 92(5), 1644–1655. 10.1257/000282802762024700CrossRefGoogle Scholar
Isaac, R, & James, D (2000). Just who are you calling risk averse?. Journal of Risk and Uncertainty, 20(2), 177–187. 10.1023/A:1007881008177CrossRefGoogle Scholar
Kaivanto, K., & Kroll, E. B. (2011). Negative recency, randomization device choice, and reduction of compound lotteries. Working Paper Series in Economics 22, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.CrossRefGoogle Scholar
Kaivanto, K., & Kroll, E. B. (2012). Alternation bias and reduction in st. petersburg gambles: An experimental investigation. Technical report, Lancaster University.Google Scholar
Lejuez, C, Read, J, Kahler, C, Richards, J, Ramsey, S, Stuart, G, Strong, D, & Brown, R (2002). Evaluation of a behavioral measure of risk taking: The Balloon Analogue Risk Task (BART). Journal of Experimental Psychology: Applied, 8(2), 75.Google ScholarPubMed
List, JA (2007). On the interpretation of giving in dictator games. Journal of Political Economy, 115, 482–493. 10.1086/519249CrossRefGoogle Scholar
Loomes, G, & Sugden, R (1982). Regret theory: An alternative theory of rational choice under uncertainty. Economic Journal, 92(368), 805–824. 10.2307/2232669CrossRefGoogle Scholar
Nelson, J. A. (2014). Are women really more risk-averse than men? A re-analysis of the literature using expanded methods. Journal of Economic Surveys, 29(3), 566–585.CrossRefGoogle Scholar
Nelson, J. A. (2015). Not-so-strong evidence for gender differences in risk taking. Feminist Economics, forthcoming.Google Scholar
Perugini, M, Tan, JHW, & Zizzo, DJ (2010). Which is the more predictable gender? Public good contribution and personality. Economic Issues Journal Articles, 15(1), 83–110.Google Scholar
Reynaud, A, & Couture, S (2012). Stability of risk preference measures: Results from a field experiment on French farmers. Theory and Decision, 73(2), 203–221. 10.1007/s11238-012-9296-5CrossRefGoogle Scholar
Slovic, P (1966). Risk-taking in children: Age and sex differences. Child Development, 37(1), 169–176. 10.2307/1126437CrossRefGoogle Scholar
Starmer, C (2000). Developments in non-expected utility theory: The hunt for a descriptive theory of choice under risk. Journal of Economic Literature, 38(2), 332–382. 10.1257/jel.38.2.332CrossRefGoogle Scholar
van Rossum, G. (1995). Python reference manual. CWI Report CS-R9525.Google Scholar
Wagner, G. G., Frick, J.R., & Schupp, J. (2007) The german socio-economic panel study (soep): Scope, evolution and enhancements. SOEPpapers on Multidisciplinary Panel Data Research 1, DIW Berlin, The German Socio-Economic Panel (SOEP).Google Scholar
Wakker, P. P., (2008) Explaining the characteristics of the power (CRRA) utility family. Health Economics, 17(12), 1329–1344.CrossRefGoogle ScholarPubMed
Wakker, P, & Deneffe, D (1996). Eliciting von Neumann-Morgenstern utilities when probabilities are distorted or unknown. Management Science, 42(8), 1131–1150. 10.1287/mnsc.42.8.1131CrossRefGoogle Scholar
Supplementary material: File

Crosetto and Filippin supplementary material

Crosetto and Filippin supplementary material
Download Crosetto and Filippin supplementary material(File)
File 26.8 KB