New results for additive and multiplicative risk apportionment
DOI10.1016/J.JMATECO.2020.07.004zbMATH Open1450.91010OpenAlexW2963585712MaRDI QIDQ2201712FDOQ2201712
Yannick Malevergne, Henri Loubergé, Béatrice Rey
Publication date: 17 September 2020
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-02100855/file/1915.pdf
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Cites Work
- The Efficiency Analysis of Choices Involving Risk
- Apportioning of risks via stochastic dominance
- Risk apportionment via bivariate stochastic dominance
- Exploring higher order risk effects
- Multiplicative Background Risk
- Consistency of Higher Order Risk Preferences
- Risk Aversion in the Small and in the Large
- Mixed risk aversion
- New results on the relationship among risk aversion, prudence and temperance
- The values of relative risk aversion and prudence: a context-free interpretation
- A class of bivariate stochastic orderings, with applications in actuarial sciences
- Increasing outer risk
- Another look at risk apportionment
- On relative and partial risk attitudes: theory and implications
- Multiplicative risk apportionment
- Proper prudence, standard prudence and precautionary vulnerability
- Testing for Prudence and Skewness Seeking
- Variance stochastic orders
- Preserving preference rankings under non-financial background risk
Cited In (7)
- Multiplicative risk apportionment
- Title not available (Why is that?)
- Apportioning of risks via stochastic dominance
- Idiosyncratic risk and the equity premium
- Precautionary risk-reduction and saving decisions: two sides of the same coin?
- Comparing utility derivative premia under additive and multiplicative risks
- Additive and multiplicative risk premiums with multiple sources of risk
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