압도, 기대효용 최대화, 포함, 그리고 무한 효용

이충형 ( Chunghyoung Lee ) 한국과학철학회 2021 과학철학 Vol.24 No.1

I argue that the following three decision-theoretic principles are inconsistent with the assumption that there are options with infinite expected utility: (1) the principle of expected utility maximization that given a collection of options, you should choose the one with maximum expected utility; (2) the principle of dominance that if an option X produces at least as good an outcome as an option Y in every possible state of the world and a strictly better outcome in at least one possible state of the world with non-zero probability, then X is strictly preferable to Y; and (3) the principle of inclusion that if an option X contains a suboption x (i.e., if you take X, then you are given suboptions one of which is x) such that taking X and then x always yields the same outcome as taking an option Y, then X is at least as desirable as Y. Consequently, relative expectation theory proposed by Mark Colyvan (2008), which combines the principle of dominance with the principle of expected utility maximization and is designed to apply to options with infinite expected utility, is inconsistent with the principle of inclusion. To avoid inconsistency, I suggest, either applications of the principle of dominance should be restricted to options with finite expected utilities, or a rational agent should not assign infinite expected utility to options.

상속동기를 반영한 주택연금의 평가와 가입전략– 주택연금의 역할 관점에서

여윤경,양재환 한국리스크관리학회 2018 리스크 관리연구 Vol.29 No.1

Recently, the reverse mortgage loan system in Korea (JooTaek YeonKeum, JTYK) has attracted a lot of attentions as its number of opting-in cases increases dramatically. But, many Korean elderlies, who have strong bequest motive, are still avoiding the JTYK because opting-in the JTYK often implies less or no bequeathed wealth for their children. That is, the bequest is an important issue when opting-in the JTYK is considered. However, a lot of studies regarding the JTYK have analyzed benefits of the JTYK without considering the bequest feature included in the JTYK. In this study, we include the bequest motive in the expected utility evaluation model and examines the effects of the strength of bequest motive on the expected utility value earned from the JTYK. In details, we analyze the effect of the status change such as opting-in or not opting-in the JTYK and various opting-in age, value of house, value of general pension and net wealth value except for the house on expected utility value as the strength of bequest motive changes. Finally, we measure the benefit of opting-in the JTYK, which is defined as the longevity risk alleviation, with different strength values of bequest motive. As results, first if we include the bequest motive in the expected utility model, then the expected utility value is increased as expected. Also, in terms of utility rate increase the fixed payment scheme performs better than both the two-phased payment scheme and the preferential payment scheme. Second, in terms of total expected utility,it is more beneficial if people opt-in the JTYK as early as possible but in terms of utility rate increase, it is better if the opting-in timing is as late as possible. Finally, as the strength of bequest motive increases, the longevity risk alleviation effect by the JTYK decreases.

주택연금을 통한 남성과 여성 은퇴자의 장수리스크 비교분석

여윤경 ( Yoon Kyug Yuh ),양재환 ( Jae Hwan Yang ) 한국금융연구원 2016 금융연구 Vol.30 No.1

This paper considers utility gaps earned between the single male and the single female through the reverse mortgage loan system in Korea (JooTaekYeonKeum, JTYK) with the perspective of alleviation of longevity risk. Specifically, we focus on the analysis of the existence of longevity risk alleviation difference between a single male householder and a single female householder with the JTYK, factors causing the alleviations of longevity risk, and the best payment type for each gender. For the analysis, we used data from the 2011 Korean Retirement and Income Study (KReIS) of National Pension Research Institute and extracted relevant demographic data of the households lead by a householder, whose age is ranged from 60 to 70 years. In total, 265 household data are collected and used for the analysis. For the analysis, we calculated maximum expected utility values by using the household values, net assets, and some other pension in the data set as initial net wealth with a mathematical model whose objective is to maximize expected utility during the retirement period. In details, we calculated the expected utility values both for the case where the JTYK is used and for the case where an individual dose not select the JTYK but self-annuitizes the net wealth with the objective of maximizing the expected utility. For the solution, a dynamic programming algorithm was developed and used to calculate utility values. We define the expected utility difference between (1) the householder uses the JTYK and (2) the householder does not use the JTYK and self-annuitizes the wealth as degree of alleviation effect in longevity risk by using the JTYK. We first calculated alleviation effects for the male and the female, respectively, and the gap of alleviation effect between the male and the female. In addition, we normalize the alleviation effect for the male and the female, respectively. Then, we performed t-test to see the existence of the effects and the gaps based on the gender. In addition, ANOVA (analysis of variance) and multi-variate regression analyses were performed to identify the factors affecting the gaps. As results, when we assume a fixed level of amount as the housing cost during the retirement period (50% for this research) as in the previous study, the JTYK alleviates longevity risk for both male and female. Second, the JTYK provides higher alleviation of longevity risk for the female than the male and this may lead to a stronger motivation for the female to opt for the JTYK than for the male. This is due to the fact that the female have lower mortality rates than the male. Third, as for the different payment types, the increasing option generates the greatest gap and the gaps decrease in the order of the fixed amount option, the two-phase option, and the decreasing option. This may also due to the fact that the female have lower mortality rates than the male. In a later time in the retirement, the female will end up spending the larger (increased) payments. Fourth, the results of the regression, in which the other factors are controlled, show that the alleviation gap is significantly different as the value of house, net wealth except the house value, age of the householder, or public pension changes. In details, the gap increases as the value of house and age of the householder increase, but the gap decreases as net wealth except the house value and public pension decrease. Even though it is quite normal to use single payment streams for both male and female based on the practices in several developed countries such as US, Britain, and Australia, it seems to be unfair for a single male household and a household with a husband who is younger than his wife. Hence, we suggest that KHFC (Korea Housing Finance Corporation) share information regarding how the JTYK payment streams be calculated and particularly, what kind of mortality rates be used for this calculation with researchers and general publics. Secondly, the KHFC needs to study how mortality rates will change the financial status of the KHFC and how often and when the JTYKs are terminated. The results of these studies should be able to help the KHFC maintains a sound financial status. Finally, the KHFC should encourage people to join the JTYK and try hard to provide them sufficient payment in order to reduce their longevity risk. We believe that the results of this study helps retirees understand properties of payment streams of the JTYK better and provide the best strategy based on the gender and other factors when they considering opting for the JTYK. Furthermore, we believe that the study contributes to the improvement of the JTYK in the future so that it can alleviate the longevity risk better in a fairer fashion.

디지털헬스케어서비스에서 서비스품질 속성이 지속사용의도에 미치는 효과연구: 사용자기대와 사용자효용 매개요인을 중심으로

전은선(Eun-Seon Jeon),김철수(Chul Soo Kim) 한국디지털산업학회 2021 한국전자거래학회지 Vol.26 No.2

This paper elucidates the effect of characteristics of service quality on continuance usage intention of digital healthcare service using mediating factors of user expectation and user utility. First, we classified independent factors into three types such as service system characteristics, user characteristics, and healthcare service characteristics from the previous studies, and investigated the effect of three independent factors on continuance usage intention of digital healthcare service. Second, we analyzed the impact of two mediating factors, user expectation and user utility, on the continuance usage intention. We developed a research model that includes three types of independent factors, mediated factors of user expectation and user utility, and a dependent factor of continuance usage intention. We surveyed a total of 357 samples from digital healthcare service users and analyzed the research model. The research results significantly show that Characteristics of Users is essential factor impacting a dependent factor of Continuance Usage Intention. The results indicate the followings: (1) Characteristics of Users including the variables of Innovation impacts User Expectation, and User Expectation affects Users Utility, and Users Utility also affects Continuance Usage Intention. (2) Characteristics of Service Systems including the variables of Functionality, Compatibility, and Convenience and Characteristics of users of Innovation variable impact the mediating factor of User Expectation, and User Expectation also affects the factor of Continuance Usage Intention. (3) Characteristics of Healthcare Services including the variables of Reliability, Ease of Operation, Safety, and Accuracy impact User Utility, and User Utility also affects Continuance Usage Intention.

국민연금 가입자를 대상으로 한 개인종신연금의 효용가치 분석

양재환 ( Jae Hwan Yang ),여윤경 ( Yoon Kyung Yuh ) 보험연구원 2010 보험금융연구 Vol.21 No.3

본 연구는 국민연금 가입자가 추가로 개인종신연금을 가입하는 것의 효용적 가치를 다양한 각도에서 분석하였다. 즉 국민연금 급여가 존재하는 상황하에서 개인연금의 가입전략이 가입하지 않은 전략에 비해서 효용가치를 증가시키는가, 그리고 이것은 개인의 소득수준, 자산수준, 위험회피도, 상속동기에 따라 어떠한 패턴을 보이는가를 분석하였으며, 이러한 요소에 따른 최적 연금화의 시점과 비율에 대한 구체적인 전략을 제시하였다. 이를 위해 생애주기모형(life cycle model)에 기반한 최적화 모형을 사용하였다. 분석한 결과에 의하면 국민연금을 가입한 경우라도 개인종신연금에 가입하는 것이 그렇지 않은 경우보다 효용가치가 증가되었으며, 그 가치는 은퇴자산이 많거나 상속 동기의 강도가 낮은 경우 보다 크게 나타났다. 최적 연금화의 시점과 자산의 연금화 비율에 따라서 종신연금의 가치는 변화하였으나 그 패턴은 상당히 일관성이 있었다. 즉, 연금화의 시점이 늦춰질수록 최적 연금화의 비율은 감소하는 것으로 나타났다. 또한 개인의 위험회피도가 증가할수록 개인종신연금의 가치는 증가하였으며, 연금수수료율의 증가는 종신연금의 가치를 낮추는 것으로 나타났다. 이러한 연구결과는 국민연금 가입자들의 효용가치를 증가시킬 수 있는 최적 개인종신연금 전략을 개발하고 실행함으로써 고령화에 따른 장수위험을 감소시키는 데에 기여할 수 있을 것이다. In this paper, by using utility-based measurements, we evaluate the life annuity plans for Korean pre-retired couples participating in the Korea National Pension (KNP). We examine the utility value of life annuity and its specific pattern by major factors such as income, assets, risk aversion, and bequest motives of the couples. For the utility measure, an optimization model is formulated with the objective of maximizing utility on consumption and Dynamic Programming (DP) technique is used to solve the problem. This study provides several important findings regarding the annuity planning strategy for the pre-retired couples participating in the KNP. First, we confirm that private life annuity is an effective tool to improve the couples utility value when they are expecting retirement income from national pension. Second, the results indicate that utility value of life annuity is particularly higher for couples with higher net worth, lower bequest motives, and higher risk aversion levels. Third, we find that optimal rate of annuitization among retirement wealth is consistently decreased when they delay the timing of annuitization. Finally, insurance fee decreases the couples`utility value significantly. These findings have implications for developing the optimal strategies of life annuity in addition to the national pension income.

초등학교 4학년 대상 수학 유용가치 단기 중재 프로그램의 동기 증진 효과성 검증

정다연,서지민,박윤아,박채현,김성일,봉미미 한국교육심리학회 2025 교육심리연구 Vol.39 No.4

Recent findings highlight the need for early intervention in elementary school math. This study, grounded in situated expectancy-value theory (SEVT), examined the effects of a utility-value intervention program and three internalization methods (essay writing, quote evaluation, and letter writing) on students’ math motivation and behavior. The moderating effect of math self-efficacy on the intervention outcomes was also tested. We developed a short-term, evidence-based utility-value intervention program emphasizing proximal utility value and incorporating age-appropriate methods, such as hands-on activities and interview videos. The program was implemented in two elementary schools in Seoul (N= 165) across two sessions over two weeks. Results indicated that although the intervention had no significant effect on perceived utility value, it significantly improved behavioral engagement, especially through essay-writing and quote-evaluation activities, as rated by teachers. The quote-evaluation condition also enhanced students’ actual engagement and challenge-seeking during math homework, reflected in the highest number of problems solved and the greatest difficulty level attempted. The letter-writing condition showed no effect. Moderation analyses revealed that students with lower math self-efficacy benefited most from the intervention, particularly in the quote-evaluation condition. Unexpectedly, among students with high initial self-efficacy, intrinsic math value was higher for those in the control group than for those in the intervention group. Educational Impact and Implications: Schools may consider implementing core elements of the intervention program, including messages that emphasize the proximal rather than distal utility value of math, diverse hands-on activities that help students recognize its everyday relevance, and interview videos illustrating math’s usefulness. Quote-evaluation activities appear especially beneficial for students with low math self-efficacy.

기대효용-불확실성 의사결정 모형의 개발

박창순,안선응 한국산업경영시스템학회 2005 한국산업경영시스템학회 학술대회 Vol.2005 No.춘계

In this paper we extend the classical decision model under uncertainty to a more general case. We propose an expected utility-uncertainty model and we can make a decision by trading off between a measure of uncertainty and a measure of expected value. As a risk analysis model, the expected utility-uncertainty model can be seen to be reasonable and flexible for states of nature or individuals" preferences. Moreover, the model can explain some decision paradoxes.

The Test of Mean-Variance Approximation to Non-Expected Utility

최필선 한양대학교 경제연구소 2006 JOURNAL OF ECONOMIC RESEARCH Vol.11 No.1

This article tests the performance of the mean-variance approxi-mations to non-expected utility functions. Previous studies jus-tify mean-variance analysis only in the context of expected utilitytheory by demonstrating the excellent empirical performance ofthe mean-variance approximations to two of the commonly usedutility functions in the study of expected utility: the power andexponential utility functions. The question we ask is whether thesame performance holds in a non-expected utility framework. Wedemonstrate that the mean-variance approximations do not per-form wel for thes-shaped utility function of prospect theory.

미국법상 피보험이익으로서 이해관계의 종류에 관한 연구 : 법적 이해관계와 사실상 이해관계를 중심으로

한기정(Han, Ki Jeong) 중앙대학교 법학연구원 2020 法學論文集 Vol.44 No.3

본고는 손해보험에서 피보험이익의 종류로서 법적 이해관계(legal expectation)와 사실상 이해관계(factual expectation)의 문제를 검토하려고 한다. 손해보험계약에서 피보험이익이 존재하지 않으면 해당 보험계약은 무효로 된다. 따라서 손해보험에서 피보험이익의 존부는 보험계약의 효력에 영향을 미치는 중요한 요소이다. 그런데 피보험이익의 존부와 밀접하게 관련되어 있는 쟁점이 법적 또는 사실상 이해관계의 문제이다. 피보험이익을 법적 이해관계에 한정할 것인지, 아니면 사실상 이해관계도 포함할 것인지에 따라 피보험이익의 존부는 달라지게 된다. 이는 단순한 이론상의 문제에 그치는 것이 아니라 실무상 자주 분쟁의 대상이 되고 있다는 점에서 깊이 있는 연구가 필요한 분야이다. 법적 또는 사실상 이해관계의 유형은 무엇인지, 그 유형별로 피보험이익을 어디까지 인정할 것인지가 법적 또는 사실상 이해관계의 문제에서 핵심적 쟁점에 해당한다. 그런데 우리나라는 이 문제에 관한 문헌 및 판례가 부족한 상태이다. 이와 달리, 미국법은 위와 같은 핵심적 쟁점에 대해 문헌과 판례가 상당히 집적되어 있다. 본고에서는 미국법상 문헌 및 판례에 나타난 법적 또는 사실상 이해관계의 문제를 물건보험과 관련해서 조사 및 분석해보고 우리나라에 주는 시사점을 검토해 보았다. 미국법은 피보험이익을 넓게 인정하고 있다는 점, 특히 법적 이해관계를 넓게 인정하고 있다는 점 등은 우리나라에 상당한 시사점을 준다고 볼 수 있다. 하지만 미국법이 사실상 이해관계 전체를 피보험이익으로 인정하지 않고 제한하는 경향이 있는데, 이는 바람직한 방향이 아니라고 사료된다. 생각건대, 피보험이익의 종류로서 법적 또는 사실상 이해관계의 문제는 보험의 효용성 또는 실용성의 관점에서 접근하는 것이 바람직하다고 본다. 직접적 또는 실질적인 경제적 이해관계라면 도박(wager)에 해당하지 않는 한 법적 이해관계인지 사실상 이해관계인지를 묻지 않고 피보험이익을 인정할 필요가 있다. 어떤 보험계약이 도박에 해당하는 경우는 경제적 이해관계가 없음에도 보험사고의 발생을 이유로 보험금을 지급하거나 경제적 이해관계가 존재하더라도 그 가액을 초과하여 보험금을 지급하기로 약정된 경우이다. 이러한 도박에 해당하지 않는 한 피보험이익을 널리 인정하면 보험의 효용성 또는 실용성이 높아지는 효과가 생긴다. This paper examines the problem of legal expectations and factual expectations as kinds of insurable interest in property insurance. The absence of insurable interest in indemnity insurance renders the insurance contract void. Accordingly, the presence of insurable interest is an essential requirement in indemnity insurance since it affects the validity of the insurance contract. The issue of legal expectations and factual expectations is closely related to the presence or absence of insurable interest. It is because its presence or absence depends on whether to limit insurable interest to legal expectations or to include factual expectations. This is not a mere theoretical subject, but a matter of legal disputes between concerned parties that requires deeper study. The types of legal and factual expectations and the extent to which they can be included as part of insurable interest in each of those types are the key points of discussion. Currently, research and cases on this topic are lacking in Korea. Conversely, American Law has accumulated a significant amount of research and cases on this issue. This paper analyzes the problem of legal and factual expectations in property insurance according to American cases and research to draw conclusions on possible implications for Korean Law. The fact that American Law recognizes a broad concept of insurable interest, especially considering legal expectations, can lead to meaningful suggestions for Korea. However, American Law inclines to limit the scope of factual expectations that can be included as insurable interest which seems to be an undesirable direction. It is more advisable to approach the problem of legal and factual expectations as a matter of utility or practicality of insurance. If an economic expectation is direct or substantial and does not constitute a wager, there is a need to accept it as insurable interest, regardless of whether it is legal or factual.

금융연구(金融硏究) : 옵션 투자의 효용 -포트폴리오 관점

강병진 ( Byung Jin Kang ),최영민 ( Young Min Choi ) 한국금융연구원 2014 금융연구 Vol.28 No.2

This paper pay attention to return anomalies in option markets such as the overpricing of OTM (out of the money) put options and ATM (at the money) straddles. A lot of previous studies, including Coval and Shumway (2001), Bondarenko (2003), Driessen and Maenhout (2007), and Broadie et al. (2009), reported that the reward for bearing the risk of selling OTM put options and ATM straddles is evidently greater than reasonably expected. Therefore, from a point of institutional investors or large pension funds that have a relative advantage in margin or transaction cost, it would be possible to improve the performance of the optimal portfolio by using OTM put options and ATM straddles. In this paper, we investigate the benefits of these option strategies from a purely empirical portfolio perspective. Optimal portfolio strategies with access to option markets are considered not only for a traditional power utility investor, but also for a non-expected utility investor such as a loss aversive investor. In addition, various performance measures of a portfolio such as the Sharpe ratio, the Omega, the Sortino ratio, and the shortfall probability etc are also considered to gather the industrial view. Finally, to examine the structural change in results before and after the global financial crisis in 2008, the subsample analysis is also employed. Using KOSPI200 index option data from 2004 to 2013, we found four main findings. First, the KOSPI200 OTM put options and ATM straddles yield extremely negative returns for our sample period, and thus a traditional power utility investor can increase the performance of her optimal portfolio by selling OTM put options and ATM straddles. This finding is valid regardless of the investor’s risk averseness, and is consistent with the results in previous studies. Second, the optimal portfolio including short option strategies outperform, in performance measured by the Sharpe ratio, the Omega, the Sortino ratio, and the shortfall probability etc, the optimal portfolio constructed without access to option markets. Third, under anticipated utility theory with decision weights equal to the transformation function of Tversky and Kahneman (1992), one of the alternative theories selected in this paper, it could be optimal to buy OTM put options and ATM straddles. Finally, the empirical results from our subsample analysis are not generally consistent with the results from the full sample analysis. Especially, in the case of the period before the global financial crisis in 2008, optimal investment weights in OTM put options and ATM straddles are found to be positive even for a traditional power utility investor. However, considering that our subsample periods are too short to cover the full business cycle, it would be more desirable to interpret the subsample results as those only applicable to a specific market environment, rather than to interpret the results in a comprehensive way. As with all studies, this study has limitations, and the results need to be carefully understood. First, this study examined the benefits of option investments from a purely empirical view, and thus the results depend on market environments. For example, if the return anomalies such as the overpricing of OTM put options and ATM straddles disappear, then the main results of this study would be entirely changed. Therefore an investor, who wants to use our results to determine her optimal portfolio, should keep watching market changes. Next, we did not consider the factors associated with market frictions such as margin requirements and transaction costs. To enhance the practical implications of this study, these factors should be considered in advance.