Multiplicative Background Risk
From MaRDI portal
Publication:3115960
DOI10.1287/mnsc.1050.0450zbMath1232.91347OpenAlexW2157699542MaRDI QIDQ3115960
Guenter Franke, Harris Schlesinger, Richard C. Stapleton
Publication date: 21 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.1050.0450
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (28)
Risk aversion with two risks: a theoretical extension ⋮ Background risk models and stepwise portfolio construction ⋮ Conditional non-expected utility preferences induced by mixture of lotteries: a note on the normative invalidity of expected utility theory ⋮ A FORM OF MULTIVARIATE PARETO DISTRIBUTION WITH APPLICATIONS TO FINANCIAL RISK MEASUREMENT ⋮ Multivariate matrix-exponential affine mixtures and their applications in risk theory ⋮ The firm under uncertainty: real and financial decisions ⋮ Changes in multiplicative background risk and risk-taking behavior ⋮ Optimal two-stage pricing strategies from the seller's perspective under the uncertainty of buyer's decisions ⋮ Comparing utility derivative premia under additive and multiplicative risks ⋮ Basis risk management and randomly scaled uncertainty ⋮ Risk apportionment via bivariate stochastic dominance ⋮ New results for additive and multiplicative risk apportionment ⋮ Risk taking with additive and multiplicative background risks ⋮ Benchmark values for higher order coefficients of relative risk aversion ⋮ Comparative ross risk aversion in the presence of mean dependent risks ⋮ On cross-risk vulnerability ⋮ Weighted risk capital allocations in the presence of systematic risk ⋮ Higher-order risk vulnerability ⋮ Impact of Counterparty Risk on the Reinsurance Market ⋮ Statistical detection and classification of background risks affecting inputs and outputs ⋮ Risk vulnerability: a graphical interpretation ⋮ Production decisions under joint price and production uncertainty ⋮ The values of relative risk aversion and prudence: a context-free interpretation ⋮ The newsvendor problem under multiplicative background risk ⋮ Convex and decreasing absolute risk aversion is proper ⋮ Optimal insurance contract with stochastic background wealth ⋮ MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY ⋮ Discussion on “Size-Biased Risk Measures of Compound Sums,” by Michel Denuit, January 2020
This page was built for publication: Multiplicative Background Risk