New results for additive and multiplicative risk apportionment

DOI10.1016/j.jmateco.2020.07.004zbMath1450.91010OpenAlexW2963585712MaRDI QIDQ2201712

Henri Loubergé, Béatrice Rey, Yannick Malevergne

Publication date: 17 September 2020

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

Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-02100855/file/1915.pdf

zbMATH Keywords

expected utilitystochastic dominanceconstant relative risk aversionhigher-order risk apportionmenthigher-order risk aversionadditive vs. multiplicative risks

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Risk models (general) (91B05)

Related Items (1)

Comparing utility derivative premia under additive and multiplicative risks

Uses Software

• DLMF

Cites Work

• Another look at risk apportionment
• On relative and partial risk attitudes: theory and implications
• Multiplicative risk apportionment
• Apportioning of risks via stochastic dominance
• The values of relative risk aversion and prudence: a context-free interpretation
• A class of bivariate stochastic orderings, with applications in actuarial sciences
• Mixed risk aversion
• Variance stochastic orders
• Proper prudence, standard prudence and precautionary vulnerability
• New results on the relationship among risk aversion, prudence and temperance
• Risk apportionment via bivariate stochastic dominance
• Increasing outer risk
• Exploring Higher Order Risk Effects
• Testing for Prudence and Skewness Seeking
• Multiplicative Background Risk
• Consistency of Higher Order Risk Preferences
• Preserving preference rankings under non-financial background risk
• Risk Aversion in the Small and in the Large
• The Efficiency Analysis of Choices Involving Risk

This page was built for publication: New results for additive and multiplicative risk apportionment