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

zbMATH Keywords

stochastic dominanceexpected utilityhigher-order risk apportionmenthigher-order risk aversionconstant relative risk aversionadditive vs. multiplicative risks

Mathematics Subject Classification ID

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

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 (5)

• Multiplicative risk apportionment
• Title not available (Why is that?)
• 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

Uses Software

• Digital Library of Mathematical Functions

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