Another tale of two tails: On characterizations of comparative risk

Alfred Mueller
Authors registered in the RePEc Author Service: Alfred Müller

Working Papers from Risk and Insurance Archive

Abstract: We characterize the classes of utility functions that are consistent with different notions of mean preserving spreads introduced in the literature. This gives rise to a unified approach and extension of some definitions of increasing risk, including the concepts of Rothschild and Stiglitz (1970) and Landsberger and Meilijson (1990a). The main idea is to restrict the possible mean preserving spreads to an arbitrary subset.

Keywords: increasing risk; stochastic dominance; mean preserving spreads; classes of utility functions (search for similar items in EconPapers)
Date: 1996-10
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Journal Article: Another Tale of Two Tails: On Characterizations of Comparative Risk (1998)
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