Multiplicative risk apportionment

DOI10.1016/J.MATHSOCSCI.2010.03.003MaRDI QIDQ991323zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Jian-Li Wang, Jingyuan Li

Publication date 7 September 2010

Published in Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mathsocsci.2010.03.003

zbMATH Keywords

higher-order multiplicative risk apportionmenthigher-order relative risk aversion

Mathematics Subject Classification ID

Utility theory (91B16)

Recommendations

• Risk apportionment and multiply monotone targets
• New results for additive and multiplicative risk apportionment
• A general theory of risk apportionment
• Multivariate risk premiums
• Risk apportionment via bivariate stochastic dominance
• Apportioning of risks via stochastic dominance
• Multiplicative Background Risk
• scientific article; zbMATH DE number 1222264
• Risk apportionment: the dual story
• Additive and multiplicative risk premiums with multiple sources of risk

Cites work

• Apportioning of risks via stochastic dominance
• Comparative higher-degree Ross risk aversion
• Exploring higher order risk effects
• Higher-order generalizations of Arrow-Pratt and Ross risk aversion: a comparative statics approach
• Mixed risk aversion
• Multiattribute utility satisfying a preference for combining good with bad
• The values of relative risk aversion and prudence: a context-free interpretation

Cited in

(19)

• The impact of prudence on optimal prevention revisited
• Partitioning methods for multifactorial risk attribution
• Precautionary saving in the presence of labor income and interest rate risks
• Changes in multiplicative risks and optimal portfolio choice: new interpretations and results
• scientific article; zbMATH DE number 1222264 (Why is no real title available?)
• New results for additive and multiplicative risk apportionment
• Decreasing downside risk aversion and background risk
• Intensity of preferences for bivariate risk apportionment
• Benchmark values for higher order coefficients of relative risk aversion
• Another look at risk apportionment
• Precautionary self-insurance-cum-protection
• A new interpretation of the condition for precautionary saving in the presence of an interest-rate risk
• Risk apportionment and multiply monotone targets
• Multiplicative Background Risk
• Changes in multiplicative background risk and risk-taking behavior
• A note on changes in additive risky benefits and risky costs
• Health care investment: the case of multiple sources of risk
• Increases in skewness and three-moment preferences
• Background risk, bivariate risk attitudes, and optimal prevention

This page was built for publication: Multiplicative risk apportionment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q991323)