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Deterministic Transformations of Random Variables and the Comparative Statics of Risk

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  • Meyer, Jack
  • Ormiston, Michael B

Abstract

In this article, a general class of deterministic transformations that can be interpreted as changes in risk are identified. This provides a fourth characterization of a Rothschild-Stiglitz increase in risk. In addition, a particular subclass of these transformations, termed simple transformation, is shown to be well suited for comparative static analyses. This subclass contains as a special case the linear transformation used so often in the literature. A theorem is presented that generalizes the known comparative static results for large as well as small changes in risk. Copyright 1989 by Kluwer Academic Publishers

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Bibliographic Info

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

Volume (Year): 2 (1989)
Issue (Month): 2 (June)
Pages: 179-88

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Handle: RePEc:kap:jrisku:v:2:y:1989:i:2:p:179-88

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Web page: http://www.springerlink.com/link.asp?id=100299

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Cited by:
  1. Hennessy, David A. & Roosen, Jutta, 1999. "Stochastic Pollution, Permits, and Merger Incentives," Staff General Research Papers 1700, Iowa State University, Department of Economics.
  2. Gene M. Grossman & Giovanni Maggi, 1998. "Diversity and Trade," NBER Working Papers 6741, National Bureau of Economic Research, Inc.
  3. Satya P. Das & Mausumi Das & Thomas B. Fomby, 2004. "Decreasing marginal impatience, income distribution and demand for money: Theory and evidence," Indian Statistical Institute, Planning Unit, New Delhi Discussion Papers 04-04, Indian Statistical Institute, New Delhi, India.
  4. repec:ebl:ecbull:v:7:y:2005:i:7:p:1-7 is not listed on IDEAS
  5. Machnes, Yaffa, 1995. "Deductible insurance and production," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 119-123, October.
  6. Jean Fernand Nguema, 2005. "Stochastic dominance on optimal portfolio with one risk-less and two risky assets," Economics Bulletin, AccessEcon, vol. 7(7), pages 1-7.
  7. Lichtenberg, Erik, 2002. "Agriculture and the environment," Handbook of Agricultural Economics, in: B. L. Gardner & G. C. Rausser (ed.), Handbook of Agricultural Economics, edition 1, volume 2, chapter 23, pages 1249-1313 Elsevier.
  8. Hennessy, David A., 1997. "Stochastic Technologies and the Adoption Decision," Staff General Research Papers 5162, Iowa State University, Department of Economics.
  9. Ingmar Schumacher & Eric Strobl, 2008. "Economic development and losses due to natural disasters: the role of risk," Working Papers hal-00356286, HAL.
  10. Eeckhoudt, Louis, 2001. "Espérance d’utilité et nouveaux modèles de choix dans le risque : une connivence cachée," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(4), pages 499-516, décembre.

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