Characterization of left-monotone risk aversion in the RDEU model

DOI10.1016/j.insmatheco.2012.02.003zbMath1252.60022OpenAlexW2078483470MaRDI QIDQ414609

Tiantian Mao, Taizhong Hu

Publication date: 11 May 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.02.003

zbMATH Keywords

utility functionrisk aversiondispersive orderexcess wealth orderleft stretchlocation independent risk orderprobability-perception function

Mathematics Subject Classification ID

Related Items (3)

Characterizations of risk aversion in cumulative prospect theory ⋮ Concave/convex weighting and utility functions for risk: a new light on classical theorems ⋮ \(L_p\)-metric under the location-independent risk ordering of random variables

Cites Work

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• The Dual Theory of Choice under Risk
• Two Variability Orders
• Risk Aversion in the Small and in the Large

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