Stochastic dominance with pair-wise risk aversion

DOI10.1016/0304-4068(85)90019-9zbMath0582.90003OpenAlexW1984893260MaRDI QIDQ1068671

Marco Scarsini

Publication date: 1985

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4068(85)90019-9

zbMATH Keywords

stochastic ordersstochastic dominancebivariate distribution functionspair-wise risk aversion

Mathematics Subject Classification ID

Individual preferences (91B08)

Related Items (14)

Stochastic Orderings of Convex-Type for Discrete Bivariate Risks ⋮ On expected utility for financial insurance portfolios with stochastic dependencies ⋮ Multivariate stochastic dominance with fixed dependence structure ⋮ Orthant orderings of discrete random vectors ⋮ Distributional efficiency in multiobjective stochastic linear programming ⋮ Risk apportionment via bivariate stochastic dominance ⋮ Multivariate decisions with unknown price vector ⋮ Health care investment: the case of multiple sources of risk ⋮ Asset prices and changes in risk within a bivariate model ⋮ Dominance conditions in non-additive expected utility theory ⋮ Ordering distributions by scaled order statistics ⋮ Stochastic dominance with nonadditive probabilities ⋮ A class of bivariate stochastic orderings, with applications in actuarial sciences ⋮ On risk aversion with two risks

Cites Work

• Multivariate decision-making
• Continua of stochastic dominance relations for unbounded probability distributions
• Continua of stochastic dominance relations for bounded probability distributions
• Stochastic inequalities on partially ordered spaces
• Stochastic Dominance Rules for Multi-attribute Utility Functions
• Constant, Increasing and Decreasing Risk Aversion with Many Commodities
• Multi-Period Stochastic Dominance
• Some Classes of Semi-ordering Relations for Random Vectors and their Use for Comparing Covariances
• Multivariate Risk Aversion, Utility Independence and Separable Utility Functions
• Efficiency Analysis for Multivariate Distributions
• Multi-Period Consumption Decision under Conditions of Uncertainty
• On Normal Operators
• Risk Aversion in the Small and in the Large
• Ordered Families of Distributions

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