Generalized Multiplicative Risk Apportionment

Hongxia Wang
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Hongxia Wang: College of Economics and Management, Nanjing Forestry University, Nanjing 210037, China

Risks, 2019, vol. 7, issue 2, 1-9

Abstract: This work examines apportionment of multiplicative risks by considering three dominance orderings: first-degree stochastic dominance, Rothschild and Stiglitz’s increase in risk and downside risk increase. We use the relative n th-degree risk aversion measure and decreasing relative n th-degree risk aversion to provide conditions guaranteeing the preference for “harm disaggregation” of multiplicative risks. Further, we relate our conclusions to the preference toward bivariate lotteries, which interpret correlation-aversion, cross-prudence and cross-temperance.

Keywords: multiplicative risk apportionment; mean-preserving spreads; downside risk increase (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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