Comparative risk apportionment

Springer Science and Business Media LLC - Tập 9 - Trang 91-112 - 2021
Paan Jindapon1, Liqun Liu2, William S. Neilson3
1Department of Economics, Finance and Legal Studies, Culverhouse College of Business, University of Alabama, Tuscaloosa, USA
2Private Enterprise Research Center, Texas A&M University, College Station, USA
3Department of Economics, Haslam College of Business, University of Tennessee, Knoxville, USA

Tóm tắt

A decision maker who would rather apportion an independent risk in a state with a good lottery than in a state with a bad lottery is said to have a preference for risk apportionment (Eeckhoudt and Schlesinger in Am Econ Rev 96:280–289, 2006). In this paper, we propose a measure for the strength of nth-degree risk apportionment preference based on Pratt’s probability premium (Pratt in Econometrica 32:122–136, 1964). Under expected utility theory, we analyze the relationship between a greater preference for risk apportionment and both the Ross and Arrow–Pratt versions of comparative risk aversion.

Tài liệu tham khảo

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