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
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Ross risk vulnerability for introductions and changes in background risk
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
نویسندگان
, ,