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Ordering risks: Expected utility theory versus Yaari's dual theory of risk

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Cited by:

  1. Chuancun Yin & Dan Zhu, 2015. "New class of distortion risk measures and their tail asymptotics with emphasis on VaR," Papers 1503.08586, arXiv.org, revised Mar 2016.
  2. Mierzejewski, Fernando, 2006. "Liquidity preference as rational behaviour under uncertainty," MPRA Paper 2771, University Library of Munich, Germany.
  3. Peng, Liang & Qi, Yongcheng & Wang, Ruodu & Yang, Jingping, 2012. "Jackknife empirical likelihood method for some risk measures and related quantities," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 142-150.
  4. Carole Bernard & Gero Junike & Thibaut Lux & Steven Vanduffel, 2024. "Cost-efficient payoffs under model ambiguity," Finance and Stochastics, Springer, vol. 28(4), pages 965-997, October.
  5. Taizhong Hu & Asok K. Nanda & Huiliang Xie & Zegang Zhu, 2004. "Properties of some stochastic orders: A unified study," Naval Research Logistics (NRL), John Wiley & Sons, vol. 51(2), pages 193-216, March.
  6. Massimiliano Corradini & Andrea Gheno, 2007. "Contingent Claim Pricing In A Dual Expected Utility Theory Framework," Departmental Working Papers of Economics - University 'Roma Tre' 0082, Department of Economics - University Roma Tre.
  7. Belzunce, Félix & Pinar, José F. & Ruiz, José M. & Sordo, Miguel A., 2012. "Comparison of risks based on the expected proportional shortfall," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 292-302.
  8. van Bruggen, Paul & Laeven, Roger J. A. & van de Kuilen, Gijs, 2024. "Higher-Order Risk Attitudes for Non-Expected Utility," Discussion Paper 2024-019, Tilburg University, Center for Economic Research.
  9. Rolf Aaberge, 2009. "Ranking intersecting Lorenz curves," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 33(2), pages 235-259, August.
  10. Tommaso Lando & Lucio Bertoli-Barsotti, 2020. "Stochastic dominance relations for generalised parametric distributions obtained through composition," METRON, Springer;Sapienza Università di Roma, vol. 78(3), pages 297-311, December.
  11. Yaffa Machnes, 2003. "Stochastic Dominance of Pension Plans," Metroeconomica, Wiley Blackwell, vol. 54(1), pages 49-59, February.
  12. Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013. "Optimal risk transfer under quantile-based risk measurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265.
  13. Tommaso Lando & Lucio Bertoli-Barsotti, 2019. "Distorted stochastic dominance: a generalized family of stochastic orders," Papers 1909.04767, arXiv.org.
  14. Claudio Zoli, 2002. "Inverse stochastic dominance, inequality measurement and Gini indices," Journal of Economics, Springer, vol. 77(1), pages 119-161, December.
  15. Chi, Yichun, 2018. "Insurance choice under third degree stochastic dominance," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 198-205.
  16. Grigorova Miryana, 2014. "Stochastic orderings with respect to a capacity and an application to a financial optimization problem," Statistics & Risk Modeling, De Gruyter, vol. 31(2), pages 183-213, June.
  17. Christian Gourieroux & Wei Liu, 2006. "Sensitivity Analysis of Distortion Risk Measures," Working Papers 2006-33, Center for Research in Economics and Statistics.
  18. Tommaso Lando & Idir Arab & Paulo Eduardo Oliveira, 2023. "Transform orders and stochastic monotonicity of statistical functionals," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 50(3), pages 1183-1200, September.
  19. Landsman, Zinoviy & Vanduffel, Steven, 2011. "Bounds for some general sums of random variables," Statistics & Probability Letters, Elsevier, vol. 81(3), pages 382-391, March.
  20. Ruodu Wang & Johanna F. Ziegel, 2014. "Distortion Risk Measures and Elicitability," Papers 1405.3769, arXiv.org, revised May 2014.
  21. Greselin, Francesca & Zitikis, Ricardas, 2015. "Measuring economic inequality and risk: a unifying approach based on personal gambles, societal preferences and references," MPRA Paper 65892, University Library of Munich, Germany.
  22. Bruce L. Jones & Ricardas Zitikis, 2005. "Testing for the order of risk measures: an application of L-statistics in actuarial science," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(2), pages 193-211.
  23. Xiaoqing Liang & Ruodu Wang & Virginia Young, 2021. "Optimal Insurance to Maximize RDEU Under a Distortion-Deviation Premium Principle," Papers 2107.02656, arXiv.org, revised Feb 2022.
  24. Adam Krzemienowski, 2009. "Risk preference modeling with conditional average: an application to portfolio optimization," Annals of Operations Research, Springer, vol. 165(1), pages 67-95, January.
  25. M. Mercè Claramunt & Maite Mármol & Xavier Varea, 2023. "Facing a Risk: To Insure or Not to Insure—An Analysis with the Constant Relative Risk Aversion Utility Function," Mathematics, MDPI, vol. 11(5), pages 1-13, February.
  26. Bosi, Gianni & Zuanon, Magali E., 2003. "Continuous representability of homothetic preorders by means of sublinear order-preserving functions," Mathematical Social Sciences, Elsevier, vol. 45(3), pages 333-341, July.
  27. Chen, Shihua & Chen, Yulin & Jebran, Khalil, 2021. "Trust and corporate social responsibility: From expected utility and social normative perspective," Journal of Business Research, Elsevier, vol. 134(C), pages 518-530.
  28. Robert, Christian Y. & Therond, Pierre-E., 2014. "Distortion Risk Measures, Ambiguity Aversion And Optimal Effort," ASTIN Bulletin, Cambridge University Press, vol. 44(2), pages 277-302, May.
  29. Miguel Sordo & Héctor Ramos, 2007. "Characterization of stochastic orders by L-functionals," Statistical Papers, Springer, vol. 48(2), pages 249-263, April.
  30. Francesca Greselin & Ričardas Zitikis, 2018. "From the Classical Gini Index of Income Inequality to a New Zenga-Type Relative Measure of Risk: A Modeller’s Perspective," Econometrics, MDPI, vol. 6(1), pages 1-20, January.
  31. Mierzejewski, Fernando, 2006. "Economic capital allocation under liquidity constraints," MPRA Paper 2414, University Library of Munich, Germany.
  32. Engsner, Hampus & Lindholm, Mathias & Lindskog, Filip, 2017. "Insurance valuation: A computable multi-period cost-of-capital approach," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 250-264.
  33. Marisa Cenci & Floriana Filippini, 2005. "Portfolio Selection with minimum transaction lots: an approach with dual expected utility," Departmental Working Papers of Economics - University 'Roma Tre' 0050, Department of Economics - University Roma Tre.
  34. Christian Gourieroux & Wei Liu, 2006. "Efficient Portfolio Analysis Using Distortion Risk Measures," Working Papers 2006-17, Center for Research in Economics and Statistics.
  35. Eeckhoudt, Louis R. & Laeven, Roger J.A. & Schlesinger, Harris, 2020. "Risk apportionment: The dual story," Journal of Economic Theory, Elsevier, vol. 185(C).
  36. Fabio Maccheroni & Pietro Muliere & Claudio Zoli, 2005. "Inverse stochastic orders and generalized Gini functionals," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 529-559.
  37. Rolf Aaberge, 2003. "Mean-Spread-Preserving Transformations," Discussion Papers 360, Statistics Norway, Research Department.
  38. 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.
  39. Asimit, Alexandru V. & Badescu, Alexandru M. & Cheung, Ka Chun, 2013. "Optimal reinsurance in the presence of counterparty default risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 690-697.
  40. Gupta, Nitin & Misra, Neeraj & Kumar, Somesh, 2015. "Stochastic comparisons of residual lifetimes and inactivity times of coherent systems with dependent identically distributed components," European Journal of Operational Research, Elsevier, vol. 240(2), pages 425-430.
  41. Sakib, S M Nazmuz, 2023. "Application Of Fixed Point Theorem To Insurance Loss Model," OSF Preprints n78rj, Center for Open Science.
  42. Hildebrandt, Patrick & Knoke, Thomas, 2011. "Investment decisions under uncertainty--A methodological review on forest science studies," Forest Policy and Economics, Elsevier, vol. 13(1), pages 1-15, January.
  43. Mierzejewski, Fernando, 2008. "The Allocation of Economic Capital in Opaque Financial Conglomerates," MPRA Paper 9432, University Library of Munich, Germany.
  44. Louis Eeckhoudt & Anna Maria Fiori & Emanuela Rosazza Gianin, 2018. "Risk Aversion, Loss Aversion, and the Demand for Insurance," Risks, MDPI, vol. 6(2), pages 1-19, May.
  45. Francesco Andreoli, 2018. "Robust Inference for Inverse Stochastic Dominance," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 146-159, January.
  46. Zou, Zhenfeng & Hu, Taizhong, 2024. "Adjusted higher-order expected shortfall," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 1-12.
  47. Jorge Navarro & Yolanda Águila & Miguel A. Sordo & Alfonso Suárez-Llorens, 2016. "Preservation of Stochastic Orders under the Formation of Generalized Distorted Distributions. Applications to Coherent Systems," Methodology and Computing in Applied Probability, Springer, vol. 18(2), pages 529-545, June.
  48. Kim, Bara & Kim, Jeongsim, 2019. "Stochastic ordering of Gini indexes for multivariate elliptical risks," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 151-158.
  49. Ludkovski, Michael & Rüschendorf, Ludger, 2008. "On comonotonicity of Pareto optimal risk sharing," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1181-1188, August.
  50. Marisa Cenci & Massimiliano Corradini & Andrea Gheno, 2005. "Dynamic portfolio selection in a dual expected utility theory framework," Departmental Working Papers of Economics - University 'Roma Tre' 0056, Department of Economics - University Roma Tre.
  51. Darinka Dentcheva & Andrzej Ruszczynski, 2005. "Inverse stochastic dominance constraints and rank dependent expected utility theory," GE, Growth, Math methods 0503001, University Library of Munich, Germany.
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