Characterization of left-monotone risk aversion in the RDEU model

DOI10.1016/J.INSMATHECO.2012.02.003zbMATH Open1252.60022OpenAlexW2078483470MaRDI QIDQ414609FDOQ414609

Authors: 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

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zbMATH Keywords

risk aversiondispersive orderexcess wealth orderutility functionleft stretchlocation independent risk orderprobability-perception function

Mathematics Subject Classification ID

Individual preferences (91B08) Inequalities; stochastic orderings (60E15)

Cites Work

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• Two Variability Orders
• Risk Aversion in the Small and in the Large
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model
• More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model
• The Generating Process and an Extension of Jewitt's Location Independent Risk Concept
• Risk aversion in the theory of expected utility with rank dependent probabilities
• A characterization of the dilation order and its applications
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• Risk aversion in RDEU

Cited In (9)

• Comment on ``Modeling non-monotone risk aversion using SAHARA utility functions
• Risk aversion in RDEU
• Demand for risky assets and the monotone probability ratio order
• Characterizations of risk aversion in cumulative prospect theory
• Aging notions, stochastic orders, and expected utilities
• Concave/convex weighting and utility functions for risk: a new light on classical theorems
• \(L_p\)-metric under the location-independent risk ordering of random variables
• More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model
• Characterization of symmetrical monotone risk aversion in the RDEU model.

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