Stronger measures of higher-order risk attitudes

DOI10.1016/j.jet.2010.03.005zbMath1245.91021OpenAlexW1996736669MaRDI QIDQ1958964

Louis R. Eeckhoudt, Michel M. Denuit

Publication date: 30 September 2010

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2010.03.005

zbMATH Keywords

prudencerisk aversiondownside riskrisk apportionmenttemperanceincrease in risk

Mathematics Subject Classification ID

Decision theory (91B06)

Related Items (22)

Restricted increases in risk aversion and their application ⋮ Portfolio choice in the model of expected utility with a safety-first component ⋮ New results on high-order risk changes ⋮ Pareto utility ⋮ Decreasing downside risk aversion and background risk ⋮ Comparing utility derivative premia under additive and multiplicative risks ⋮ Greater Arrow-Pratt (absolute) risk aversion of higher orders ⋮ When Ross meets Bell: the linex utility function ⋮ Substituting one risk increase for another: a method for measuring risk aversion ⋮ Ross risk vulnerability for introductions and changes in background risk ⋮ Comparative ross risk aversion in the presence of mean dependent risks ⋮ On multivariate prudence ⋮ Precautionary saving in the large: \(n\)th degree deteriorations in future income ⋮ Decreasing ross risk aversion: higher-order generalizations and implications ⋮ Higher-order risk vulnerability ⋮ Health and portfolio choices: a diffidence approach ⋮ The utility premium of Friedman and Savage, comparative risk aversion, and comparative prudence ⋮ Decreasing higher-order absolute risk aversion and higher-degree stochastic dominance ⋮ A note on the comparative statics approach to \(n\)th-degree risk aversion ⋮ A separation theorem for the weak \(s\)-convex orders ⋮ The monetary utility premium and interpersonal comparisons ⋮ Comparative ambiguity aversion and downside ambiguity aversion

Cites Work

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• Comparative higher-degree Ross risk aversion
• Apportioning of risks via stochastic dominance
• Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
• Mixed risk aversion
• Higher-order generalizations of Arrow-Pratt and Ross risk aversion: a comparative statics approach
• A note on comparative downside risk aversion
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• The s-convex orders among real random variables, with applications
• Risk Aversion in the Small and in the Large
• On \(s\)-convexity and risk aversion

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