Characterization of left-monotone risk aversion in the RDEU model

DOI10.1016/j.insmatheco.2012.02.003zbMath1252.60022OpenAlexW2078483470MaRDI QIDQ414609

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

utility functionrisk aversiondispersive orderexcess wealth orderleft stretchlocation independent risk orderprobability-perception function

Mathematics Subject Classification ID

Related Items (3)

Characterizations of risk aversion in cumulative prospect theory ⋮ 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

Cites Work

• Stochastic orders
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• Descriptive statistics for non-parametric models. III: Dispersion
• Comparing risks with unbounded distributions
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model
• A characterization of the dilation order and its applications
• More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model
• Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk
• The Generating Process and an Extension of Jewitt's Location Independent Risk Concept
• Partial Orderings of Distributions Based on Right-Spread Functions
• The Dual Theory of Choice under Risk
• Two Variability Orders
• Risk Aversion in the Small and in the Large
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