Preserving the Rothschild-Stiglitz type increase in risk with background risk: a characterization

DOI10.1016/j.insmatheco.2016.10.012zbMath1394.91207OpenAlexW2540312467MaRDI QIDQ506061

Michel M. Denuit, M'hamed Mesfioui

Publication date: 31 January 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.10.012

zbMATH Keywords

expected utilityrisk aversionstochastic dominanceexpectation dependencehigher-degree increasing concave orders

Mathematics Subject Classification ID

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Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses ⋮ Validation of positive expectation dependence ⋮ Testing for more positive expectation dependence with application to model comparison ⋮ Model selection based on Lorenz and concentration curves, Gini indices and convex order ⋮ A new family of copula-based concordance orderings of random pairs: properties and nonparametric tests ⋮ Comparative risk aversion with two risks ⋮ Size-Biased Risk Measures of Compound Sums

Cites Work

• Risk aversion with two risks: a theoretical extension
• Another look at risk apportionment
• Correlated risks, bivariate utility and optimal choices
• The demand for a risky asset in the presence of a background risk
• Grüss-type bounds for covariances and the notion of quadrant dependence in expectation
• Stochastic orders
• Almost expectation and excess dependence notions
• Expectation dependence of random variables, with an application in portfolio theory
• Monotonic dependence functions of bivariate distributions
• A class of bivariate stochastic orderings, with applications in actuarial sciences
• On risk aversion with two risks
• Risk reducers in convex order
• Preserving the Rothschild-Stiglitz type of increasing risk with background risk
• Stochastic Dominance Decision Rules when the Attributes are Utility Independent
• Generalized Increasing Convex and Directionally Convex Orders
• Some Concepts of Dependence

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