Risk apportionment via bivariate stochastic dominance

DOI10.1016/j.jmateco.2011.06.003zbMath1236.91069MaRDI QIDQ2427844

Octave Jokung

Publication date: 18 April 2012

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2011.06.003

zbMATH Keywords

stochastic dominance; risk apportionment; bivariate utility function; correlation aversion; cross-prudence; pair-wise risk aversion; cross-temperance

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

62H05: Characterization and structure theory for multivariate probability distributions; copulas

91B16: Utility theory

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Cites Work

• Apportioning of risks via stochastic dominance
• Stochastic dominance with pair-wise risk aversion
• A class of bivariate stochastic orderings, with applications in actuarial sciences
• Increasing outer risk
• Multiplicative Background Risk
• Multivariate Risk Aversion, Utility Independence and Separable Utility Functions
• Stochastic Orderings of Convex-Type for Discrete Bivariate Risks