کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
965426 | 930806 | 2012 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Ross risk vulnerability for introductions and changes in background risk
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
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چکیده انگلیسی
We present two theorems that provide necessary and sufficient conditions for an expected utility maximizer to become more risk averse in the sense of Ross with respect to bearing a foreground risk after the introduction of any independent fair or unfair additive background risk. We call these decision makers Ross risk vulnerable, and show that Ross decreasing absolute risk aversion and Ross decreasing absolute prudence are jointly sufficient for Ross risk vulnerability. Restrictions on utility necessary and sufficient for Ross risk vulnerability with respect to stochastic dominance deteriorations of an existing background risk are also presented. Our analysis concludes with applications of Ross risk vulnerability.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Economics - Volume 48, Issue 4, August 2012, Pages 197-206
Journal: Journal of Mathematical Economics - Volume 48, Issue 4, August 2012, Pages 197-206
نویسندگان
Donald C. Keenan, Arthur Snow,