Publikation:

Incremental risk vulnerability

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05_08.pdf
05_08.pdfGröße: 173.3 KBDownloads: 87

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2005

Autor:innen

Stapleton, Richard C.
Subrahmanyam, Marti G.

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http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-17918
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Working Paper/Technical Report
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Zusammenfassung

We present a necessary and sufficient condition on an agent s utility function for a simple mean preserving spread in an independent background risk to increase the agent s risk aversion (incremental risk vulnerability). Gollier and Pratt (1996) have shown that declining and convex risk aversion as well as standard risk aversion are sufficient for risk vulnerability. We show that these conditions are also sufficient for incremental risk vulnerability. In addition, we present sufficient conditions for a restricted set of stochastic increases in an independent background risk to increase risk aversion.

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Fachgebiet (DDC)
330 Wirtschaft

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ISO 690FRANKE, Günter, Richard C. STAPLETON, Marti G. SUBRAHMANYAM, 2005. Incremental risk vulnerability
BibTex
@techreport{Franke2005Incre-12177,
  year={2005},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Incremental risk vulnerability},
  number={2005/08},
  author={Franke, Günter and Stapleton, Richard C. and Subrahmanyam, Marti G.}
}
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