On S-convexity and risk aversion

Marco Scarsini, Michel Denuit and Claude Lefevre

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Abstract: The present note first discusses the concept of s-convex pain functions in decision theory. Then, the economic behavior of an agent with such a pain function is represented through the comparison of some recursive lotteries.

Keywords: Recursive method; Convex function; Lottery; Risk aversion; Utility theory; Decision theory; Insurance; Stochastic s-convex orders; s-convex pain functions; Actuarial studies; Expected utility theory; Fonction convexe; Méthode récursive; Loterie; Aversion risque; Théorie utilité; Théorie décision; Assurance (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (4)

Published in Theory and Decision, 2001, Vol. 50, N°3, pp. 239-248. ⟨10.1023/A:1010336203373⟩

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Journal Article: On S-Convexity and Risk Aversion (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00540202

DOI: 10.1023/A:1010336203373

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