Comparing Risks with Unbounded Distributions
AbstractWe extend the characterizations of increasing risks developed by Rothschild and Stiglitz (1970) to the case of unbounded probability distributions. We also consider the related notion of increasing risk about $\nu$ introduced by Landsberger and Meilijson (1990). Moreover, for some of the results we give new and more elegant proofs.
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Bibliographic InfoPaper provided by Risk and Insurance Archive in its series Working Papers with number 026.
Date of creation: Oct 1996
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increasing risk; stochastic dominance; mean preserving spreads;
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- 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.
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- Morone, Andrea & Ozdemir, Ozlem, 2012.
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38842, University Library of Munich, Germany.
- Ozlem Ozdemir & Andrea Morone, 2012. "Black Swan Protection: an Experimental Investigation," Working Papers 2012/12, Economics Department, Universitat Jaume I, Castellón (Spain).
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- Alfred Mueller, 1996. "Another tale of two tails: On characterizations of comparative risk," Working Papers 025, Risk and Insurance Archive.
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