File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1016/j.jmateco.2021.102536
- Scopus: eid_2-s2.0-85109077775
- WOS: WOS:000744258900014
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: Comparative Risk Aversion with Two Risks
Title | Comparative Risk Aversion with Two Risks |
---|---|
Authors | |
Keywords | Bivariate risk apportionment Comparative risk aversion Expectation dependence |
Issue Date | 2021 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jmateco |
Citation | Journal of Mathematical Economics, 2021, v. 97, article no. 102536 How to Cite? |
Abstract | This paper characterizes aversion to one risk in the presence of another, which is invulnerable to the size of exposure to the former risk and consistent with the common bivariate risk preferences for combining good with bad. We show that all bivariate utility functions that satisfy bivariate risk apportionment exhibit risk aversion with two risks if, and only if, the dependence structure of the two risks is characterized by the notion of expectation dependence. We then propose an intensity measure of risk aversion with two risks that is based on the utility premium normalized by the marginal utility evaluated at an arbitrarily chosen pair. We show that the intensity measure being uniformly larger is equivalent to the concept of greater generalized Ross risk aversion. An application for optimal prevention in a two-period model is presented when the dependence structure of the underlying random variables is governed by the notion of expectation dependence. |
Persistent Identifier | http://hdl.handle.net/10722/308346 |
ISSN | 2023 Impact Factor: 1.0 2023 SCImago Journal Rankings: 0.707 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Wong, KP | - |
dc.date.accessioned | 2021-12-01T07:52:08Z | - |
dc.date.available | 2021-12-01T07:52:08Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | Journal of Mathematical Economics, 2021, v. 97, article no. 102536 | - |
dc.identifier.issn | 0304-4068 | - |
dc.identifier.uri | http://hdl.handle.net/10722/308346 | - |
dc.description.abstract | This paper characterizes aversion to one risk in the presence of another, which is invulnerable to the size of exposure to the former risk and consistent with the common bivariate risk preferences for combining good with bad. We show that all bivariate utility functions that satisfy bivariate risk apportionment exhibit risk aversion with two risks if, and only if, the dependence structure of the two risks is characterized by the notion of expectation dependence. We then propose an intensity measure of risk aversion with two risks that is based on the utility premium normalized by the marginal utility evaluated at an arbitrarily chosen pair. We show that the intensity measure being uniformly larger is equivalent to the concept of greater generalized Ross risk aversion. An application for optimal prevention in a two-period model is presented when the dependence structure of the underlying random variables is governed by the notion of expectation dependence. | - |
dc.language | eng | - |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jmateco | - |
dc.relation.ispartof | Journal of Mathematical Economics | - |
dc.subject | Bivariate risk apportionment | - |
dc.subject | Comparative risk aversion | - |
dc.subject | Expectation dependence | - |
dc.title | Comparative Risk Aversion with Two Risks | - |
dc.type | Article | - |
dc.identifier.email | Wong, KP: kpwongc@hkucc.hku.hk | - |
dc.identifier.authority | Wong, KP=rp01112 | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jmateco.2021.102536 | - |
dc.identifier.scopus | eid_2-s2.0-85109077775 | - |
dc.identifier.hkuros | 330694 | - |
dc.identifier.volume | 97 | - |
dc.identifier.spage | article no. 102536 | - |
dc.identifier.epage | article no. 102536 | - |
dc.identifier.isi | WOS:000744258900014 | - |
dc.publisher.place | Netherlands | - |