[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v50y2012i3p413-422.html
   My bibliography  Save this article

Characterization of left-monotone risk aversion in the RDEU model

Author

Listed:
  • Mao, Tiantian
  • Hu, Taizhong
Abstract
We extend the characterization of the left-monotone risk aversion developed by Ryan (2006) to the case of unbounded random variables. The notion of weak convergence is insufficient for such an extension. It requires the solution of a host of delicate convergence problems. To this end, some further intrinsic properties of the location independent risk order are investigated. The characterization of the right-monotone risk aversion for unbounded random variables is also mentioned. Moreover, we remove the gap in the proof of the main result in Ryan (2006).

Suggested Citation

  • Mao, Tiantian & Hu, Taizhong, 2012. "Characterization of left-monotone risk aversion in the RDEU model," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 413-422.
    • Handle: RePEc:eee:insuma:v:50:y:2012:i:3:p:413-422
    DOI: 10.1016/j.insmatheco.2012.02.003
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167668712000194
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.insmatheco.2012.02.003?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ian Jewitt, 1989. "Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk," Management Science, INFORMS, vol. 35(1), pages 60-70, January.
    2. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    3. Alain Chateauneuf & Michéle Cohen & Isaac Meilijson, 2005. "More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 25(3), pages 649-667, April.
    4. Diamond, Peter A. & Stiglitz, Joseph E., 1974. "Increases in risk and in risk aversion," Journal of Economic Theory, Elsevier, vol. 8(3), pages 337-360, July.
    5. Hong, Chew Soo & Karni, Edi & Safra, Zvi, 1987. "Risk aversion in the theory of expected utility with rank dependent probabilities," Journal of Economic Theory, Elsevier, vol. 42(2), pages 370-381, August.
    6. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
    7. Muller, Alfred, 1998. "Comparing risks with unbounded distributions," Journal of Mathematical Economics, Elsevier, vol. 30(2), pages 229-239, September.
    8. Chateauneuf, Alain & Cohen, Michele & Meilijson, Isaac, 2004. "Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model," Journal of Mathematical Economics, Elsevier, vol. 40(5), pages 547-571, August.
    9. Michael Landsberger & Isaac Meilijson, 1994. "The Generating Process and an Extension of Jewitt's Location Independent Risk Concept," Management Science, INFORMS, vol. 40(5), pages 662-669, May.
    10. Ryan, Matthew J., 2006. "Risk aversion in RDEU," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 675-697, September.
    11. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yang, Jianping & Zhuang, Weiwei & Hu, Taizhong, 2014. "Lp-metric under the location-independent risk ordering of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 321-324.
    2. Wakker, Peter P. & Yang, Jingni, 2021. "Concave/convex weighting and utility functions for risk: A new light on classical theorems," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 429-435.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Chateauneuf, Alain & Cohen, Michele & Meilijson, Isaac, 2004. "Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model," Journal of Mathematical Economics, Elsevier, vol. 40(5), pages 547-571, August.
    2. Michèle Cohen & Isaac Meilijson, 2014. "Preference for safety under the Choquet model: in search of a characterization," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 55(3), pages 619-642, April.
    3. Ghossoub, Mario & He, Xue Dong, 2021. "Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 6-22.
    4. Mich�le Cohen, 2015. "Risk Perception, Risk Attitude, and Decision: A Rank-Dependent Analysis," Mathematical Population Studies, Taylor & Francis Journals, vol. 22(1), pages 53-70, March.
    5. Michèle Cohen & Isaac Meilijson, 2011. "In search of a characterization of the preference for safety under the Choquet model," Documents de travail du Centre d'Economie de la Sorbonne 11031, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    6. Michèle Cohen, 2008. "Risk Perception, Risk Attitude and Decision : a Rank-Dependent Approach," Post-Print halshs-00348810, HAL.
    7. Ryan, Matthew J., 2006. "Risk aversion in RDEU," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 675-697, September.
    8. Jean Baccelli & Georg Schollmeyer & Christoph Jansen, 2022. "Risk aversion over finite domains," Theory and Decision, Springer, vol. 93(2), pages 371-397, September.
    9. Johannes G. Jaspersen & Richard Peter & Marc A. Ragin, 2023. "Probability weighting and insurance demand in a unified framework," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 48(1), pages 63-109, March.
    10. Grant, Simon & Quiggin, John, 2005. "Increasing uncertainty: a definition," Mathematical Social Sciences, Elsevier, vol. 49(2), pages 117-141, March.
    11. Louis R. Eeckhoudt & Roger J. A. Laeven, 2021. "Probability Premium and Attitude Towards Probability," Papers 2105.00054, arXiv.org.
    12. Alain Chateauneuf & Michéle Cohen & Isaac Meilijson, 2005. "More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 25(3), pages 649-667, April.
    13. Moez Abouda & Elyess Farhoud, 2010. "Risk aversion and Relationships in model-free," Post-Print halshs-00492170, HAL.
    14. Moez Abouda & Elyess Farhoud, 2010. "Anti-comonotone random variables and anti-monotone risk aversion," Post-Print halshs-00497444, HAL.
    15. Jean Baccelli, 2018. "Risk attitudes in axiomatic decision theory: a conceptual perspective," Theory and Decision, Springer, vol. 84(1), pages 61-82, January.
    16. Grant, S. & Quiggin, J., 2001. "A Model-Free Definition of Increasing Uncertainty," Discussion Paper 2001-84, Tilburg University, Center for Economic Research.
    17. Alain Chateauneuf & Michèle Cohen & Mina Mostoufi & Jean-Christophe Vergnaud, 2015. "Optimality of deductible for Yaari's model: a reappraisal," Post-Print halshs-01224502, HAL.
    18. Louis R. Eeckhoudt & Roger J. A. Laeven, 2022. "Dual Moments and Risk Attitudes," Operations Research, INFORMS, vol. 70(3), pages 1330-1341, May.
    19. Muller, Alfred, 1998. "Another Tale of Two Tails: On Characterizations of Comparative Risk," Journal of Risk and Uncertainty, Springer, vol. 16(2), pages 187-197, May-June.
    20. Alain Chateauneuf & Michèle Cohen, 2008. "Cardinal extensions of EU model based on the Choquet integral," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00348822, HAL.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:50:y:2012:i:3:p:413-422. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.