Characterization of left-monotone risk aversion in the RDEU model

DOI10.1016/j.insmatheco.2012.02.003zbMath1252.60022MaRDI QIDQ414609

Tiantian Mao, Taizhong Hu

Publication date: 11 May 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.02.003

zbMATH Keywords

utility function; risk aversion; dispersive order; excess wealth order; left stretch; location independent risk order; probability-perception function

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

91B08: Individual preferences

Related Items

Concave/convex weighting and utility functions for risk: a new light on classical theorems, Characterizations of risk aversion in cumulative prospect theory, \(L_p\)-metric under the location-independent risk ordering of random variables

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