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Ordering risks: Expected utility theory versus Yaari's dual theory of risk

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  • Wang, Shaun S.
  • Young, Virginia R.
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 22 (1998)
    Issue (Month): 2 (June)
    Pages: 145-161

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    Handle: RePEc:eee:insuma:v:22:y:1998:i:2:p:145-161

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    Web page: http://www.elsevier.com/locate/inca/505554

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    Cited by:
    1. Peng, Liang & Qi, Yongcheng & Wang, Ruodu & Yang, Jingping, 2012. "Jackknife empirical likelihood method for some risk measures and related quantities," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 51(1), pages 142-150.
    2. Ruodu Wang & Johanna F. Ziegel, 2014. "Distortion Risk Measures and Elicitability," Papers, arXiv.org 1405.3769, arXiv.org, revised May 2014.
    3. Mierzejewski, Fernando, 2008. "The Allocation of Economic Capital in Opaque Financial Conglomerates," MPRA Paper 9432, University Library of Munich, Germany.
    4. Rolf Aaberge, 2000. "Ranking Intersecting Lorenz Curves," Discussion Papers, Research Department of Statistics Norway 271, Research Department of Statistics Norway.
    5. Claudio Zoli, 2002. "Inverse stochastic dominance, inequality measurement and Gini indices," Journal of Economics, Springer, Springer, vol. 9(1), pages 119-161, December.
    6. Fabio Maccheroni & Pietro Muliere & Claudio Zoli, 2005. "Inverse stochastic orders and generalized Gini functionals," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 529-559.
    7. Mierzejewski, Fernando, 2006. "Economic capital allocation under liquidity constraints," MPRA Paper 2414, University Library of Munich, Germany.
    8. Christian Robert & Pierre-Emmanuel Thérond, 2014. "Distortion risk measures, ambiguity aversion and optimal effort," Post-Print, HAL hal-00813199, HAL.
    9. Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013. "Optimal risk transfer under quantile-based risk measurers," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 53(1), pages 252-265.
    10. Bosi, Gianni & Zuanon, Magali E., 2003. "Continuous representability of homothetic preorders by means of sublinear order-preserving functions," Mathematical Social Sciences, Elsevier, Elsevier, vol. 45(3), pages 333-341, July.
    11. Landsman, Zinoviy & Vanduffel, Steven, 2011. "Bounds for some general sums of random variables," Statistics & Probability Letters, Elsevier, Elsevier, vol. 81(3), pages 382-391, March.
    12. Belzunce, Félix & Pinar, José F. & Ruiz, José M. & Sordo, Miguel A., 2012. "Comparison of risks based on the expected proportional shortfall," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 51(2), pages 292-302.
    13. Asimit, Alexandru V. & Badescu, Alexandru M. & Cheung, Ka Chun, 2013. "Optimal reinsurance in the presence of counterparty default risk," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 53(3), pages 690-697.
    14. Miguel Sordo & Héctor Ramos, 2007. "Characterization of stochastic orders by L-functionals," Statistical Papers, Springer, Springer, vol. 48(2), pages 249-263, April.
    15. Ludkovski, Michael & Rüschendorf, Ludger, 2008. "On comonotonicity of Pareto optimal risk sharing," Statistics & Probability Letters, Elsevier, Elsevier, vol. 78(10), pages 1181-1188, August.
    16. Rolf Aaberge, 2003. "Mean-Spread-Preserving Transformations," Discussion Papers, Research Department of Statistics Norway 360, Research Department of Statistics Norway.
    17. Bruce L. Jones & Ricardas Zitikis, 2005. "Testing for the order of risk measures: an application of L-statistics in actuarial science," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 193-211.

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