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Economic consequences of Nth-degree risk increases and Nth-degree risk attitudes

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  • Jouini, Elyès
  • Napp, Clotilde
  • Nocetti, Diego

Abstract

We study comparative statics of Nth-degree risk increases within a large class of problems that involve bidimensional payoffs and additive or multiplicative risks. We establish necessary and sufficient conditions for unambiguous impact of Nth-degree risk increases on optimal decision making. We develop a simple and intuitive approach to interpret these conditions : novel notions of directional Nth-degree risk aversion that are characterized via preferences over lotteries.

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File URL: http://basepub.dauphine.fr/xmlui/bitstream/123456789/12392/1/Nth_degree_risk_JNN_Aug_30_2012.pdf
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Bibliographic Info

Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/12392.

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Date of creation: 2013
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Publication status: Published in Journal of risk and uncertainty, 2013, Vol. 47, no. 2. pp. 199-224.Length: 25 pages
Handle: RePEc:dau:papers:123456789/12392

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Keywords: Comparative statics; Nth degree risk increases; Risk disaggregation;

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