Another look at risk apportionment (Q387334)

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.