Characterization of left-monotone risk aversion in the RDEU model

Tiantian Mao and Taizhong Hu

Insurance: Mathematics and Economics, 2012, vol. 50, issue 3, 413-422

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).

Keywords: Dispersive order; Location independent risk order; Excess wealth order; Left stretch; Risk aversion; Utility function; Probability-perception function (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:50:y:2012:i:3:p:413-422

DOI: 10.1016/j.insmatheco.2012.02.003

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