Risk Apportionment Via Bivariate Stochastic Dominance
Risk Apportionment Via Bivariate Stochastic Dominance
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DOI：
10.2139/ssrn.1550225
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发表时间：
2009-11
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影响因子：
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通讯作者：
Octave Jokung
中科院分区：
文献类型：
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作者：
Octave Jokung
本文扩展到二元效用函数，Eeckhoudt等人（2009）对“坏”和“好”组合的结果。决策者更倾向于获得一些“好”和一些“坏”，而不是冒险获得所有“好”或所有“坏”，其中“坏”是通过（N，M）递增的凹顺序定义的。我们将Richard（1975）引入的二元风险规避概念推广到更高阶。重要的是，在二元框架中，对彩票的偏好[(X，T)；（Y，Z）]到彩票[(X，Z)；（Y，T）]当（X，Z）通过（N，M）增加凹阶支配（Y，T）时，我们可以断言（N，M）阶的二元风险分配，并扩展Eeckhoudt和Schlesinger（2006）定义的风险分配概念。
This paper extends to bivariate utility functions, Eeckhoudt et al.’s (2009) result for the combination of ‘bad’ and ‘good’. The decision-maker prefers to get some of the ‘good’ and some of the ‘bad’ to taking a chance on all the ‘good’ or all the ‘bad’ where ‘bad’ is defined via (N,M)-increasing concave order. We generalize the concept of bivariate risk aversion introduced by Richard (1975) to higher orders. Importantly, in the bivariate framework, preference for the lottery [(X,T);(Y,Z)] to the lottery [(X,Z);(Y,T)] when (X,Z) dominates (Y,T) via (N,M)-increasing concave order allows us to assert bivariate risk apportionment of order (N,M) and to extend the concept of risk apportionment defined by Eeckhoudt and Schlesinger (2006).