Uni- And Multidimensional Risk Attitudes: Some Unifying Theorems
Uni- And Multidimensional Risk Attitudes: Some Unifying Theorems
复制标题
DOI：
--
复制
发表时间：
2012
期刊：
影响因子：
--
通讯作者：
M. Denuit;B. Rey
中科院分区：
文献类型：
--
作者：
M. Denuit;B. Rey
Eeckhoudt和Schlesinger（2006）引入的（加性）风险分配概念是对特定类别的彩票的偏好，该彩票结合了确定减少和零平均风险。它相当于确定效用函数的高阶导数的符号。Wang和Li（2010）通过类似的彩票偏好定义了乘法风险分摊的概念。Eeckhoudt， Rey和Schlesinger（2007）引入的交叉风险分摊概念，并在Jokung（2011）中进一步研究，将这些概念扩展到两个属性的情况下。本文旨在基于Denuit， Eeckhoudt和Rey（2010）中引入的二元模型，为这些密切相关的概念提供统一的方法，以便更好地理解加性，乘法和2属性情况下的风险变化。在这种情况下，对增加相关参数的厌恶和初始财富水平的影响都导致了不同形式的风险分摊。
The notion of (additive) risk apportionment introduced by Eeckhoudt and Schlesinger (2006) is a preference for a particular class of lotteries combining sure reductions and zero-mean risks. It is equivalent to determining the sign of higher-order derivatives of the utility function. The notion of multiplicative risk apportionment has been defined by Wang and Li (2010) by means of similar lottery preferences. The notion of cross risk apportionment introduced by Eeckhoudt, Rey and Schlesinger (2007) and further studied in Jokung (2011) extends these concepts to the case of two attributes. The present paper aims to provide a unified approach to these closely related notions based on a bivariate model introduced in Denuit, Eeckhoudt and Rey (2010), allowing for a better understanding of changes in risk in the additive, multiplicative and 2-attribute cases. In this setting, it is shown that aversion to increasing the correlation parameter and the impact of initial wealth levels both lead to the different forms or risk apportionment.