EconPapers    
Economics at your fingertips  
 

Catastrophe Aversion and Risk Equity in an Interdependent World

Carole Bernard, Christoph Rheinberger () and Nicolas Treich ()

No 872, IDEI Working Papers from Institut d'Économie Industrielle (IDEI), Toulouse

Abstract: Catastrophe aversion and risk equity are important concepts both in risk management theory and practice. Ralph Keeney (1980) was the first to formally define these concepts. He demonstrated that the two concepts are always in con ict. Yet his result is based on the assumption that individual risks are independent. It has therefore limited relevance for real-world catastrophic events. We extend Keeney's result to dependent risks and derive the conditions under which more equity and more correlation between two risks imply a more catastrophic situation. We then generalize some of the results for multiple correlated risks.

Keywords: risk equity; catastrophe aversion; correlation; dependence structure (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-upt
Date: 2017-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://idei.fr/sites/default/files/IDEI/documents/wp/2017/wp_idei_872.pdf Full text (application/pdf)

Related works:
Working Paper: Catastrophe Aversion and Risk Equity in an Interdependent World (2018)
Working Paper: Catastrophe Aversion and Risk Equity in an Interdependent World (2017) Downloads
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:ide:wpaper:31745

Access Statistics for this paper

More papers in IDEI Working Papers from Institut d'Économie Industrielle (IDEI), Toulouse Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2020-01-17
Handle: RePEc:ide:wpaper:31745