Risk apportionment via bivariate stochastic dominance

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• 作者：Octave  ; Jokung  ; ;   ; ^a ;   ; ^{octave.jokung@edhec.edu}
• 关键词：Bivariate utility function ; Correlation aversion ; Cross-prudence ; Cross-temperance ; Pair-wise risk aversion ; Risk apportionment ; Stochastic dominance
• 刊名：Journal of Mathematical Economics
• 出版年：2011
• 出版时间：August-October 2011
• 年：2011
• 卷：47
• 期：4-5
• 页码：448-452
• 全文大小：238 K

文摘

This paper extends to bivariate utility functions, result for the combination of ¡®bad?and ¡®good? The decision-maker prefers to get some of the ¡®good?and some of the ¡®bad?to taking a chance on all the ¡®good?or all the ¡®bad?where ¡®bad?is defined via -increasing concave order. We generalize the concept of bivariate risk aversion introduced by? to higher orders. Importantly, in the bivariate framework, preference for the lottery to the lottery when dominates via -increasing concave order allows us to assert bivariate risk apportionment of order and to extend the concept of risk apportionment defined by?.