Stronger measures of higher-order risk attitudes

• 成果类型: Article
• 署名作者: Denuit, Michel M.; Eeckhoudt, Louis
• 署名单位: Universite Catholique Louvain; Universite Catholique Louvain; IESEG School of Management; Universite Catholique Louvain
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2010.03.005
• 发表日期: 2010
• 页码: 2027-2036
• 关键词: Risk aversion; Downside risk; prudence; Temperance; Increase in risk; Risk apportionment

摘要

This paper aims to extend the results by Ross (1981) [15] and by Modica and Scarsini (2005) [13] to stochastic dominance of degree 4 and over. Specifically, it is shown that Ross' approach can be extended to any order of risk attitude beyond the generalization proposed by Modica and Scarsini by means of sth degree increase in risk defined by Ekern (1980) [8]. (C) 2010 Elsevier Inc. All rights reserved.