Article ID Journal Published Year Pages File Type
5076168 Insurance: Mathematics and Economics 2017 5 Pages PDF
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
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