Higher-order generalizations of Arrow-Pratt and Ross risk aversion: a comparative statics approach

DOI10.1016/j.jet.2006.03.010zbMath1281.91101OpenAlexW2068970551MaRDI QIDQ2455684

Paan Jindapon, William S. Neilson

Publication date: 26 October 2007

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

Full work available at URL: https://doi.org/10.1016/j.jet.2006.03.010

zbMATH Keywords

prudencerisk aversioncomparative staticsdownside riskincreases in risk

Mathematics Subject Classification ID

Related Items (42)

Restricted increases in risk aversion and their application ⋮ Conditional payments and self-protection ⋮ Portfolio choice in the model of expected utility with a safety-first component ⋮ Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes ⋮ Intensity of preferences for bivariate risk apportionment ⋮ A note on risky targets and effort ⋮ Prudence probability premium ⋮ A note on changes in additive risky benefits and risky costs ⋮ Decreasing downside risk aversion and background risk ⋮ Comparing utility derivative premia under additive and multiplicative risks ⋮ Ambiguity aversion, higher-order risk attitude and optimal effort ⋮ Greater Arrow-Pratt (absolute) risk aversion of higher orders ⋮ Possibilistic risk aversion in group decisions: theory with application in the insurance of giga-investments valued through the fuzzy pay-off method ⋮ When Ross meets Bell: the linex utility function ⋮ Substituting one risk increase for another: a method for measuring risk aversion ⋮ Ross risk vulnerability for introductions and changes in background risk ⋮ Greater prudence and greater downside risk aversion ⋮ Stronger measures of higher-order risk attitudes ⋮ Risky targets and effort ⋮ Comparative ross risk aversion in the presence of mean dependent risks ⋮ Unnamed Item ⋮ Background risk, bivariate risk attitudes, and optimal prevention ⋮ On multivariate prudence ⋮ Precautionary saving in the large: \(n\)th degree deteriorations in future income ⋮ Comparative higher-degree Ross risk aversion ⋮ Decreasing ross risk aversion: higher-order generalizations and implications ⋮ On the intensity of downside risk aversion ⋮ Higher-order risk vulnerability ⋮ How do changes in risk and risk aversion affect self-protection with Selden/Kreps-Porteus preferences? ⋮ A note on the comparative statics approach to \(n\)th-degree risk aversion ⋮ Multiplicative risk apportionment ⋮ Willingness to pay for stochastic improvements of future risk under different risk aversion ⋮ Comparative higher-order risk aversion and higher-order prudence ⋮ Self-protection with random costs ⋮ Portfolio allocation problems between risky and ambiguous assets ⋮ A separation theorem for the weak \(s\)-convex orders ⋮ Greater downside risk aversion in the large ⋮ Subsidizing risk prevention ⋮ Revisiting precautionary saving under ambiguity ⋮ Diversification and risk attitudes toward two risks ⋮ The monetary utility premium and interpersonal comparisons ⋮ Comparative ambiguity aversion and downside ambiguity aversion

Cites Work

• Unnamed Item
• Self-insurance, self-protection and increased risk aversion
• The comparative statics of cumulative distribution function changes for the class of risk averse agents
• Mixed risk aversion
• Comparative statics and non-expected utility preferences
• Degree of downside risk aversion and self-protection
• A note on comparative downside risk aversion
• Increasing outer risk
• The Ross Characterization of Risk Aversion: Strengthening and Extension
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Outside Risk Aversion and the Comparative Statics of Increasing Risk in Quasi-Linear Decision Models
• Risk Aversion in the Small and in the Large

This page was built for publication: Higher-order generalizations of Arrow-Pratt and Ross risk aversion: a comparative statics approach