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Comparing Risks with Unbounded Distributions

Author

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  • Alfred Mueller

Abstract

We 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.

Suggested Citation

  • Alfred Mueller, 1996. "Comparing Risks with Unbounded Distributions," Working Papers 026, Risk and Insurance Archive.
  • Handle: RePEc:wop:riskar:026
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. Landsberger, Michael & Meilijson, Isaac, 1990. "Lotteries, insurance, and star-shaped utility functions," Journal of Economic Theory, Elsevier, vol. 52(1), pages 1-17, October.
    4. 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.
    5. Muller, Alfred, 1996. "Orderings of risks: A comparative study via stop-loss transforms," Insurance: Mathematics and Economics, Elsevier, vol. 17(3), pages 215-222, April.
    6. Kroll, Yoram & Leshno, Moshe & Levy, Haim & Spector, Yishay, 1995. "Increasing risk, decreasing absolute risk aversion and diversification," Journal of Mathematical Economics, Elsevier, vol. 24(6), pages 537-556.
    7. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
    8. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
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    Cited by:

    1. Mao, Tiantian & Hu, Taizhong, 2012. "Characterization of left-monotone risk aversion in the RDEU model," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 413-422.
    2. Morone, Andrea & Ozdemir, Ozlem, 2012. "Black swan protection: an experimental investigation," MPRA Paper 38842, University Library of Munich, Germany.
    3. Muller, Alfred, 1998. "Another Tale of Two Tails: On Characterizations of Comparative Risk," Journal of Risk and Uncertainty, Springer, vol. 16(2), pages 187-197, May-June.
    4. Hu, Taizhong & Chen, Jing & Yao, Junchao, 2006. "Preservation of the location independent risk order under convolution," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 406-412, April.
    5. Yang, Jianping & Hu, Taizhong, 2016. "New developments on the Lp-metric between a probability distribution and its distortion," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 236-243.

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