Artikel
Generalized multiplicative risk apportionment
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 nth-degree risk aversion measure and decreasing relative nth-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.
- Language
-
Englisch
- Bibliographic citation
-
Journal: Risks ; ISSN: 2227-9091 ; Volume: 7 ; Year: 2019 ; Issue: 2 ; Pages: 1-9 ; Basel: MDPI
- Classification
-
Wirtschaft
Criteria for Decision-Making under Risk and Uncertainty
- Subject
-
multiplicative risk apportionment
mean-preserving spreads
downside risk increase
- Event
-
Geistige Schöpfung
- (who)
-
Wang, Hongxia
- Event
-
Veröffentlichung
- (who)
-
MDPI
- (where)
-
Basel
- (when)
-
2019
- DOI
-
doi:10.3390/risks7020065
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Wang, Hongxia
- MDPI
Time of origin
- 2019
Other Objects (12)
Multiplicative methodology for assessing investment attractiveness and risk for industries
Risk model validation: An intraday VaR and ES approach using the multiplicative component GARCH
A duality result for the generalized Erlang risk model
Estimating major risk factor relativities in rate filings using generalized linear models
Generalized backward induction: Justification for a folk algorithm
Likelihood inference for generalized integer autoregressive time series models
Generalized empirical likelihood-based focused information criterion and model averaging
Multiplicative background risk
Multiplicative background risk
Multiplicative background risk
Multiplicative background risk
Generalized binary time series models
Multiplicative methodology for assessing investment attractiveness and risk for industries
Risk model validation: An intraday VaR and ES approach using the multiplicative component GARCH
A duality result for the generalized Erlang risk model
Estimating major risk factor relativities in rate filings using generalized linear models
Generalized backward induction: Justification for a folk algorithm
Likelihood inference for generalized integer autoregressive time series models
Generalized empirical likelihood-based focused information criterion and model averaging
Multiplicative background risk
Multiplicative background risk
Multiplicative background risk
Multiplicative background risk
Generalized binary time series models
Multiplicative methodology for assessing investment attractiveness and risk for industries
Risk model validation: An intraday VaR and ES approach using the multiplicative component GARCH
A duality result for the generalized Erlang risk model
Estimating major risk factor relativities in rate filings using generalized linear models
Generalized backward induction: Justification for a folk algorithm
Likelihood inference for generalized integer autoregressive time series models
Generalized empirical likelihood-based focused information criterion and model averaging
Multiplicative background risk
Multiplicative background risk
Multiplicative background risk
Multiplicative background risk