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The Increasing Convex Order and the Trade–off of Size for Risk

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  • Liqun Liu
  • Jack Meyer

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  • Liqun Liu & Jack Meyer, 2017. "The Increasing Convex Order and the Trade–off of Size for Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(3), pages 881-897, September.
    • Handle: RePEc:bla:jrinsu:v:84:y:2017:i:3:p:881-897
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    File URL: http://hdl.handle.net/10.1111/jori.12132
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    References listed on IDEAS

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    1. Liqun Liu & Andrew Rettenmaier & Thomas Saving, 2009. "Conditional payments and self-protection," Journal of Risk and Uncertainty, Springer, vol. 38(2), pages 159-172, April.
    2. Menegatti, Mario, 2009. "Optimal prevention and prudence in a two-period model," Mathematical Social Sciences, Elsevier, vol. 58(3), pages 393-397, November.
    3. Robert J. Aumann & Roberto Serrano, 2008. "An Economic Index of Riskiness," Journal of Political Economy, University of Chicago Press, vol. 116(5), pages 810-836, 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. Lee, Kangoh, 1998. "Risk Aversion and Self-Insurance-cum-Protection," Journal of Risk and Uncertainty, Springer, vol. 17(2), pages 139-150, November.
    6. Ross, Stephen A, 1981. "Some Stronger Measures of Risk Aversion in the Small and the Large with Applications," Econometrica, Econometric Society, vol. 49(3), pages 621-638, May.
    7. Meyer, Jack, 1977. "Second Degree Stochastic Dominance with Respect to a Function," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 18(2), pages 477-487, June.
    8. Louis Eeckhoudt & Christian Gollier, 2005. "The impact of prudence on optimal prevention," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 26(4), pages 989-994, November.
    9. G. Hanoch & H. Levy, 1969. "The Efficiency Analysis of Choices Involving Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 36(3), pages 335-346.
    10. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
    11. W. Henry Chiu, 2005. "Skewness Preference, Risk Aversion, and the Precedence Relations on Stochastic Changes," Management Science, INFORMS, vol. 51(12), pages 1816-1828, December.
    12. Dionne, Georges & Eeckhoudt, Louis, 1985. "Self-insurance, self-protection and increased risk aversion," Economics Letters, Elsevier, vol. 17(1-2), pages 39-42.
    13. Liqun Liu & Jack Meyer, 2013. "Normalized measures of concavity and Ross’s strongly more risk averse order," Journal of Risk and Uncertainty, Springer, vol. 47(2), pages 185-198, October.
    14. Neil A. Doherty & Harris Schlesinger, 1990. "Rational Insurance Purchasing: Consideration of Contract Nonperformance," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 105(1), pages 243-253.
    15. Donald Meyer & Jack Meyer, 2010. "Excluded losses and the demand for insurance," Journal of Risk and Uncertainty, Springer, vol. 41(1), pages 1-18, August.
    16. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
    17. Ehrlich, Isaac & Becker, Gary S, 1972. "Market Insurance, Self-Insurance, and Self-Protection," Journal of Political Economy, University of Chicago Press, vol. 80(4), pages 623-648, July-Aug..
    18. Donald Meyer & Jack Meyer, 2011. "A Diamond-Stiglitz approach to the demand for self-protection," Journal of Risk and Uncertainty, Springer, vol. 42(1), pages 45-60, February.
    19. Jewitt, Ian, 1986. "A note on comparative statics and stochastic dominance," Journal of Mathematical Economics, Elsevier, vol. 15(3), pages 249-254, June.
    20. Jindapon, Paan & Neilson, William S., 2007. "Higher-order generalizations of Arrow-Pratt and Ross risk aversion: A comparative statics approach," Journal of Economic Theory, Elsevier, vol. 136(1), pages 719-728, September.
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    Cited by:

    1. Dennis W. Jansen & Liqun Liu, 2022. "Portfolio choice in the model of expected utility with a safety-first component," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 187-207, June.
    2. Liqun Liu & Jack Meyer & Andrew J. Rettenmaier & Thomas R. Saving, 2018. "Risk and risk aversion effects in contests with contingent payments," Journal of Risk and Uncertainty, Springer, vol. 56(3), pages 289-305, June.
    3. Mario Menegatti & Richard Peter, 2022. "Changes in Risky Benefits and in Risky Costs: A Question of the Right Order," Management Science, INFORMS, vol. 68(5), pages 3625-3634, May.

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