Correlation aversion and bivariate stochastic dominance with respect to reference functions

Jingyuan Li, Jianli Wang and Lin Zhou

Insurance: Mathematics and Economics, 2024, vol. 118, issue C, 157-174

Abstract: This paper introduces an extension of stochastic dominance, moving from univariate to bivariate analysis by incorporating a reference function. Our approach offers flexibility in reference function selection, improving upon previous studies cohesively. Bivariate orderings are invaluable tools in actuarial sciences, facilitating the assessment and management of dependencies between risks and lifelengths within multiple insurance contracts. These advancements hold promising practical implications, particularly within the actuarial sciences domain.

Keywords: Bivariate stochastic dominance; Correlation aversion; Reference function (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:118:y:2024:i:c:p:157-174

DOI: 10.1016/j.insmatheco.2024.06.005

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