Another look at risk apportionment

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• 作者：Michel Denuit ; B¨¦atrice Rey
• 关键词：Expected utility ; Higher-order risk aversion ; Higher-order risk apportionment ; Wealth effect ; Stochastic dominance
• 刊名：Journal of Mathematical Economics
• 出版年：2013
• 出版时间：August, 2013
• 年：2013
• 卷：49
• 期：4
• 页码：335-343
• 全文大小：428 K

文摘

This paper presents a general result on the random selection of an element from an ordered sequence of risks and uses this result to derive additive and cross risk apportionment. Preferences favoring an improvement of the sampling distribution in univariate or bivariate first-order stochastic dominance are those exhibiting additive or cross risk apportionment. The univariate additive and multiplicative risk apportionment concepts are then related to the notion of bivariate cross risk apportionment by viewing the single-attribute utility function of an aggregate position (sum or product of attributes) as a 2-attribute utility function. The results derived in the present paper allow one to further explore the connections between the different concepts of risk apportionment proposed so far in the literature.