Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076168 | Insurance: Mathematics and Economics | 2017 | 5 Pages |
Abstract
In order to generalize previous results by Li et al. (2016), Guo et al. (2016) extended the definition of the Rothschild-Stiglitz type of increase in risk to a background risk framework. They provided several sufficient conditions for such a ranking to hold, involving expectation dependence concepts. In this short note, the corresponding characterizations are established, based on the bivariate higher-degree increasing concave orders introduced by Denuit et al. (1999).
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Michel M. Denuit, Mhamed Mesfioui,