Stochastic dominance with pair-wise risk aversion (Q1068671)
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scientific article; zbMATH DE number 3932722
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| English | Stochastic dominance with pair-wise risk aversion |
scientific article; zbMATH DE number 3932722 |
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Stochastic dominance with pair-wise risk aversion (English)
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1985
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A class of stochastic orders is defined on the set of bivariate distribution functions. This class of orders is linearly orderable by inclusion. A family of utility functions, coherent with each of the stochastic orders previously defined, is determined. These utility functions represent pair-wise risk aversion. The relations with univariate stochastic orders are examined.
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stochastic dominance
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stochastic orders
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bivariate distribution functions
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pair-wise risk aversion
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0.8417273163795471
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0.8304811120033264
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0.8271711468696594
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0.8177057504653931
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0.8061884045600891
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