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A Tale of Two Tails: An Alternative Characterization of Comparative Risk

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  • Landsberger, Michael
  • Meilijson, Isaac
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    Abstract

    A characterization of comparative risk, parallel to but more restrictive than the Rothschild-Stiglitz (1970) characterization, is developed. As in Rothschild and Stiglitz, we develop a four-way characterization that consists of generating processes (a noise condition and generation by a sequence of special mean-preserving spreads), integral conditions, and preferences. The building blocks of this new order, Mean-preserving increases in risk about v, where v is any constant, are mean-preserving spreads whose centers have a nonempty intersection. If this intersection contains the mean of the distribution, the induced order, or mean-preserving increase in risk about the mean, conveys a particularly meaningful notion of an increase in risk as a buildup of the tails of the distribution. Copyright 1990 by Kluwer Academic Publishers

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    Bibliographic Info

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

    Volume (Year): 3 (1990)
    Issue (Month): 1 (March)
    Pages: 65-82

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    Handle: RePEc:kap:jrisku:v:3:y:1990:i:1:p:65-82

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

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    Cited by:
    1. Harris Schlesinger & Christian Gollier, 2001. "Changes in Risk and Asset Prices," CESifo Working Paper Series 443, CESifo Group Munich.
    2. Marta_Cardin & Paola_Ferretti, 2004. "Some theory of bivariate risk attitude," Game Theory and Information 0411009, EconWPA.
    3. Santos-Pinto, Luís, 2003. "Asymmetries in information processing in a decision theory framework," MPRA Paper 3146, University Library of Munich, Germany, revised 27 Apr 2007.
    4. Patrick Moyes, 2007. "An extended Gini approach to inequality measurement," Journal of Economic Inequality, Springer, vol. 5(3), pages 279-303, December.

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