A general theory of risk apportionment

DOI10.1016/J.JET.2021.105189MaRDI QIDQ1995325zbMATH OpenOpenAlexFDO

Authors Christian Gollier

Publication date 23 February 2021

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL http://publications.ut-capitole.fr/42083/1/wp_tse_1003.pdf

zbMATH Keywords

concordanceprudencerisk ordersstochastic dominancetemperance

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Risk models (general) (91B05)

Recommendations

• Risk apportionment via bivariate stochastic dominance
• Variance stochastic orders
• Another look at risk apportionment
• Increasing risk: Some direct constructions
• The comparative statics of changes in risk revisited

Cites work

• Apportioning of risks via stochastic dominance
• Aversion to risk of regret and preference for positively skewed risks
• Comparisons of heterogeneous distributions and dominance criteria
• Consistency of higher order risk preferences
• Correlated risks, bivariate utility and optimal choices
• Inequalities for distributions with given marginals
• Monotonicity of asset price toward higher changes in risk
• Multiattribute utility satisfying a preference for combining good with bad
• Multivariate Risk Aversion, Utility Independence and Separable Utility Functions
• On relative and partial risk attitudes: theory and implications
• Precautionary saving in the large: \(n\)th degree deteriorations in future income
• Risk-aversion, prudence and temperance
• Stochastic volatility implies fourth-degree risk dominance: applications to asset pricing
• The Efficiency Analysis of Choices Involving Risk
• Variance stochastic orders

Cited in

(7)

• Variance stochastic orders
• Comparative risk aversion with two risks
• Increasing outer risk
• Another look at risk apportionment
• The Generating Process and an Extension of Jewitt's Location Independent Risk Concept
• Downside risk aversion vs decreasing absolute risk aversion: an intuitive exposition
• Multiplicative risk apportionment

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