Advanced Search
MyIDEAS: Login

Increasing Risk: Some Direct Constructions

Contents:

Author Info

  • Machina, Mark J
  • Pratt, John W

Abstract

This article extends the classic Rothschild-Stiglitz characterization of comparative risk ("increasing risk") in two directions. By adopting a more general definition of "mean preserving spread" (MPS), it provides a direct construction of a sequence of MPS's linking any pair of distributions that are ranked in terms of comparative risk. It also provides a direct, explicit construction of a zero-conditional-mean "noise" variable for any such pair of distributions. Both results are extended to the case of second order stochastic dominance. Copyright 1997 by Kluwer Academic Publishers

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://journals.kluweronline.com/issn/0895-5646/contents
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Springer in its journal Journal of Risk and Uncertainty.

Volume (Year): 14 (1997)
Issue (Month): 2 (March)
Pages: 103-27

as in new window
Handle: RePEc:kap:jrisku:v:14:y:1997:i:2:p:103-27

Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=100299

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. John W. Pratt, 2008. "Some neglected axioms in fair division," Harvard Business School Working Papers 08-094, Harvard Business School.
  2. Jean-Philippe Platteau & Vincent Somville & Zaki Wahhaj, 2013. "Elite Capture Through Information Distortion: A Theoretical Essay," Studies in Economics 1305, Department of Economics, University of Kent.
  3. Ozlem Ozdemir & Andrea Morone, 2014. "An experimental investigation of insurance decisions in low probability and high loss risk situations," Journal of Economic Interaction and Coordination, Springer, vol. 9(1), pages 53-67, April.
  4. Marco Dall’Aglio & Marco Scarsini, 2000. "Zonoids, Linear Dependence, and Size-Biased Distributions on the Simplex," ICER Working Papers - Applied Mathematics Series 27-2003, ICER - International Centre for Economic Research, revised Jul 2003.
  5. Müller, Alfred & Scarsini, Marco, 2012. "Fear of loss, inframodularity, and transfers," Journal of Economic Theory, Elsevier, vol. 147(4), pages 1490-1500.
  6. Gajdos, Thibault & Weymark, John A., 2012. "Introduction to inequality and risk," Journal of Economic Theory, Elsevier, vol. 147(4), pages 1313-1330.
  7. André de Palma & Nathalie Picard, 2004. "Route Choice behavior with risk averse users," THEMA Working Papers 2004-09, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  8. Simon Grant & John Quiggin, 2004. "Increasing Uncertainty: A Definition," Risk & Uncertainty Working Papers WPR04_4, Risk and Sustainable Management Group, University of Queensland.
  9. Donald Keenan & Donald Rudow & Arthur Snow, 2008. "Risk preferences and changes in background risk," Journal of Risk and Uncertainty, Springer, vol. 36(2), pages 139-152, April.
  10. de Palma, André & Picard, Nathalie, 2005. "Route choice decision under travel time uncertainty," Transportation Research Part A: Policy and Practice, Elsevier, vol. 39(4), pages 295-324, May.
  11. David P. Myatt & Justin P. Johnson, 2004. "On the Simple Economics of Advertising, Marketing, and Product Design," Economics Series Working Papers 185, University of Oxford, Department of Economics.
  12. Unser, Matthias, 2000. "Lower partial moments as measures of perceived risk: An experimental study," Journal of Economic Psychology, Elsevier, vol. 21(3), pages 253-280, June.
  13. repec:hal:journl:halshs-00212281 is not listed on IDEAS
  14. Keenan, Donald C. & Snow, Arthur, 2012. "Ross risk vulnerability for introductions and changes in background risk," Journal of Mathematical Economics, Elsevier, vol. 48(4), pages 197-206.
  15. Rajat Deb & Tae Seo, 2011. "Rothschild and Stiglitz’s mean preserving: revisited," Social Choice and Welfare, Springer, vol. 37(4), pages 659-668, October.
  16. repec:hal:cesptp:halshs-00212281 is not listed on IDEAS
  17. Chateauneuf, Alain & Cohen, Michele & Meilijson, Isaac, 2004. "Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model," Journal of Mathematical Economics, Elsevier, vol. 40(5), pages 547-571, August.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:kap:jrisku:v:14:y:1997:i:2:p:103-27. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.