Another look at risk apportionment

Michel Denuit and Beatrice Rey ()

Journal of Mathematical Economics, 2013, vol. 49, issue 4, 335-343

Abstract: This paper presents a general result on the random selection of an element from an ordered sequence of risks and uses this result to derive additive and cross risk apportionment. Preferences favoring an improvement of the sampling distribution in univariate or bivariate first-order stochastic dominance are those exhibiting additive or cross risk apportionment. The univariate additive and multiplicative risk apportionment concepts are then related to the notion of bivariate cross risk apportionment by viewing the single-attribute utility function of an aggregate position (sum or product of attributes) as a 2-attribute utility function. The results derived in the present paper allow one to further explore the connections between the different concepts of risk apportionment proposed so far in the literature.

Keywords: Expected utility; Higher-order risk aversion; Higher-order risk apportionment; Wealth effect; Stochastic dominance (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304406813000347
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:49:y:2013:i:4:p:335-343

DOI: 10.1016/j.jmateco.2013.04.007

Access Statistics for this article

Journal of Mathematical Economics is currently edited by Atsushi (A.) Kajii

More articles in Journal of Mathematical Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().