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Another tale of two tails: On characterizations of comparative risk

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  • Alfred Mueller

Abstract

We characterize the classes of utility functions that are consistent with different notions of mean preserving spreads introduced in the literature. This gives rise to a unified approach and extension of some definitions of increasing risk, including the concepts of Rothschild and Stiglitz (1970) and Landsberger and Meilijson (1990a). The main idea is to restrict the possible mean preserving spreads to an arbitrary subset.

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Bibliographic Info

Paper provided by Risk and Insurance Archive in its series Working Papers with number 025.

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Date of creation: Oct 1996
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Handle: RePEc:wop:riskar:025

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Keywords: increasing risk; stochastic dominance; mean preserving spreads; classes of utility functions;

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  1. Michael Landsberger & Isaac Meilijson, 1994. "The Generating Process and an Extension of Jewitt's Location Independent Risk Concept," Management Science, INFORMS, vol. 40(5), pages 662-669, May.
  2. Muller, Alfred, 1998. "Comparing risks with unbounded distributions," Journal of Mathematical Economics, Elsevier, vol. 30(2), pages 229-239, September.
  3. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
  4. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
  5. Diamond, Peter A. & Stiglitz, Joseph E., 1974. "Increases in risk and in risk aversion," Journal of Economic Theory, Elsevier, vol. 8(3), pages 337-360, July.
  6. Ian Jewitt, 1989. "Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk," Management Science, INFORMS, vol. 35(1), pages 60-70, January.
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