Correlated risks, bivariate utility and optimal choices
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Publication:617346
DOI10.1007/S00199-009-0500-YzbMATH Open1203.91055OpenAlexW2137596901MaRDI QIDQ617346FDOQ617346
Authors: Michel Denuit, Mario Menegatti, Louis Eeckhoudt 
Publication date: 21 January 2011
Published in: Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00199-009-0500-y
Recommendations
- Optimal expected utility risk measures
- Dual theory of choice with multivariate risks
- Risk premium for dependent risks using utility copulas and risk aversion
- Multivariate risk aversion with applications
- Utility correlations in probabilistic choice modelling
- Multivariate decision-making under risk aversion
- Multiple risks and mean-variance preferences
- Dual utilities on risk aggregation under dependence uncertainty
- Generalized Expected Utility Analysis of Multivariate Risk Aversion
- Correlations and copulas for decision and risk analysis
background riskprecautionary savingsbivariate higher order increasing concave stochastic dominancerisks correlation
Cites Work
- Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
- The s-convex orders among real random variables, with applications
- On risk aversion with two risks
- Changes in Background Risk and Risk Taking Behavior
- Some consequences of correlation aversion in decision science
- On the conditions for precautionary saving
- Standard Risk Aversion
- A class of bivariate stochastic orderings, with applications in actuarial sciences
- Multiple risks and mean-variance preferences
- Precautionary saving in the presence of other risks: a comment
- Precautionary saving in the presence of other risks
- Optimal saving in the presence of two risks
Cited In (28)
- On multivariate prudence
- The marginal propensity to consume and multidimensional risk
- Health care investment: the case of multiple sources of risk
- Comparative ross risk aversion in the presence of mean dependent risks
- Precautionary saving under many risks
- Precautionary saving in the presence of labor income and interest rate risks
- Risk aversion with two risks: a theoretical extension
- Beneficial changes in dependence structures and two-moment decision models
- Almost expectation and excess dependence notions
- Health and portfolio choices: a diffidence approach
- Risk reducers in convex order
- Correlation aversion and bivariate stochastic dominance with respect to reference functions
- Precautionary risk-reduction and saving decisions: two sides of the same coin?
- Some consequences of correlation aversion in decision science
- The research on precautionary investment decision-making behaviors based on the view of two-dimension risks
- Zero utility principles coinciding on binary risks
- Background risk, bivariate risk attitudes, and optimal prevention
- Labor supply with stochastic wage rate and non-labor income uncertainty
- Correlated risks and the value of information
- A general theory of risk apportionment
- Pigouvian tax, abatement policies and uncertainty on the environment
- Distributionally robust goal-reaching optimization in the presence of background risk
- Bivariate almost stochastic dominance
- Financial risk taking in the presence of correlated non-financial background risk
- Intensity of preferences for bivariate risk apportionment
- Optimal saving and health prevention
- Risk premium for dependent risks using utility copulas and risk aversion
- Preserving the Rothschild-Stiglitz type increase in risk with background risk: a characterization
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