Anti-comonotone random variables and anti-monotone risk aversion

Moez Abouda () and Elyess Farhoud ()
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Moez Abouda: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, BESTMOD - ISG - Institut Supérieur de Gestion de Tunis [Tunis] - Université de Tunis
Elyess Farhoud: BESTMOD - ISG - Institut Supérieur de Gestion de Tunis [Tunis] - Université de Tunis, Ecole Polytechnique de Tunisie - EPT

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Abstract: This paper focuses on the study of decision making under risk. We first recall some model-free definitions of risl aversion and increase in risk. We propose a new form of behavior under risk that we call anti-monotone risk aversion (hererafter referred to as ARA) related to the concept of anti-comonotony a concept investigated in Abouda, Aouani and Chateauneuf (2008). Note that many research has already been done in this field e.g. through the theory of comonotonicity. We give relationships between comonotone, strict comonotone, anti-comonotone and strict anti-comonotone random variables. Then, after the motivation of ARA, we show that this new aversion is weaker than monotone risk aversion while stronger than weak risk aversion.

Keywords: Risk aversion; anti-comonotone; comonotone; strict comonotone; strict anti-comonotone.; Aversion au risque; strict anti-comonotone; strict comonotone. (search for similar items in EconPapers)
Date: 2010-06
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00497444
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Citations: View citations in EconPapers (1)

Published in 2010

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