Characterization of left-monotone risk aversion in the RDEU model

DOI10.1016/J.INSMATHECO.2012.02.003MaRDI QIDQ414609zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 124474 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• A characterization of the dilation order and its applications
• Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Comparing risks with unbounded distributions
• Descriptive statistics for non-parametric models. III: Dispersion
• 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
• Partial Orderings of Distributions Based on Right-Spread Functions
• Risk Aversion in the Small and in the Large
• Risk aversion in RDEU
• Risk aversion in the theory of expected utility with rank dependent probabilities
• Stochastic orders
• The Dual Theory of Choice under Risk
• The Generating Process and an Extension of Jewitt's Location Independent Risk Concept
• Two Variability Orders

Cited in

(9)

• Characterization of symmetrical monotone risk aversion in the RDEU model.
• 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

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