Greater Mutual Aggravation

• 成果类型: Article
• 署名作者: Ebert, Sebastian; Nocetti, Diego C.; Schlesinger, Harris
• 署名单位: Frankfurt School Finance & Management; Tilburg University; Clarkson University; University of Alabama System; University of Alabama Tuscaloosa
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2017.2746
• 发表日期: 2018
• 页码: 2809-2811
• 关键词: mixed risk aversion; mutual aggravation; Risk apportionment; stochastic dominance; utility premium; prudence

摘要

A large strand of research has identified when (i) a single risk is undesirable and (ii) two independent risks aggravate each other. We extend this line of inquiry by establishing when (iii) mutual aggravation is greater for greater risks. This natural property of greater mutual aggravation explains recent experimental findings on higher-order risk preferences, and can guide managerial behavior when risks in the decision environment become more severe.