Another look at risk apportionment (Q387334)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Another look at risk apportionment |
scientific article; zbMATH DE number 6241753
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Another look at risk apportionment |
scientific article; zbMATH DE number 6241753 |
Statements
Another look at risk apportionment (English)
0 references
20 December 2013
0 references
The paper deals with the higher-order risk apportionment problem. The concepts of additive risk apportionment, multiplicative risk apportionment and cross risk apportionment are presented and discussed. It is shown that additive and cross risk apportionment can be seen as preferences for improvements in sampling distributions via univariate and bivariate first-order stochastic dominance, respectively. It is obtained that decision makers who dislike probability spreads are precisely those who exhibit risk apportionment. In addition, the relation is considered between univariate additive or multiplicative risk apportionment concept and bivariate cross apportionment concept.
0 references
expected utility
0 references
higher-order risk aversion
0 references
higher-order risk apportionment
0 references
wealth effect
0 references
stochastic dominance
0 references
0 references
0 references
0.8706709146499634
0 references
0.8567235469818115
0 references
0.8420276045799255
0 references
0.8139857053756714
0 references
0.8074010014533997
0 references
