Non-differentiable transformations preserving stochastic dominance
Non-differentiable transformations preserving stochastic dominance
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DOI：
10.1057/jors.2012.140
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发表时间：
2013-09
影响因子：
3.6
通讯作者：
M. Denuit;L. Eeckhoudt;Octave Jokung
中科院分区：
文献类型：
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作者：
M. Denuit;L. Eeckhoudt;Octave Jokung
在本文中，我们解决了以下问题：当一个风险的随机改善保持在这个风险的非处处连续可微变换下？使用的概念划分的差异，我们表明，随机优势在第三（和更高）阶，有时在第二个，不保存简单的分段线性变换后的初始风险。我们的分析是对处处连续可微变换的分析的补充。
In this paper, we solve the following problem: when does a stochastic improvement in one risk maintain itself under a non everywhere continuously differentiable transformation of this risk? Using the notion of divided differences, we show that stochastic dominance at the third (and higher) order, and sometimes at the second one, is not preserved after simple piecewise linear transformation of the initial risk. Our analysis complements the one that exists for everywhere continuously differentiable transformations.