Economic consequences of Nth-degree risk increases and Nth-degree risk attitudes

Elyès Jouini (), Clotilde Napp and Diego Nocetti

Journal of Risk and Uncertainty, 2013, vol. 47, issue 2, 199-224

Abstract: We study comparative statics of Nth-degree risk increases within a large class of problems that involve bidimensional payoffs and additive or multiplicative risks. We establish necessary and sufficient conditions for unambiguous impact of Nth-degree risk increases on optimal decision making. We develop a simple and intuitive approach to interpret these conditions : novel notions of directional Nth-degree risk aversion that are characterized via preferences over lotteries. Copyright Springer Science+Business Media New York 2013

Keywords: Comparative statics; Nth degree risk increases; Risk disaggregation; D8; D9; G11 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (22)

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Working Paper: Economic Consequences of Nth-Degree Risk Increases and Nth-Degree Risk Attitudes (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:kap:jrisku:v:47:y:2013:i:2:p:199-224

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DOI: 10.1007/s11166-013-9176-6

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