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Multivariate Almost Stochastic Dominance

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  • Ilia Tsetlin
  • Robert L. Winkler

Abstract

Almost stochastic dominance allows small violations of stochastic dominance rules to avoid situations where most decision makers prefer one alternative to another but stochastic dominance cannot rank them. We present the concepts of multivariate almost stochastic dominance and multivariate almost nth†degree risk and their connections with a preference for combining good with bad. Then, we show how a preference for combining good with bad can be applied to obtain various comparative statics results, and we extend our approach to risk†prone (convex) stochastic dominance, which relates to the opposite preference, for combining good with good and bad with bad.

Suggested Citation

  • Ilia Tsetlin & Robert L. Winkler, 2018. "Multivariate Almost Stochastic Dominance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 85(2), pages 431-445, June.
    • Handle: RePEc:bla:jrinsu:v:85:y:2018:i:2:p:431-445
    DOI: 10.1111/jori.12222
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    Cited by:

    1. Yi-Chieh Huang & Kamhon Kan & Larry Y. Tzeng & Kili C. Wang, 2021. "Estimating the Critical Parameter in Almost Stochastic Dominance from Insurance Deductibles," Management Science, INFORMS, vol. 67(8), pages 4742-4755, August.
    2. Paan Jindapon & Liqun Liu & William S. Neilson, 2021. "Comparative risk apportionment," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 9(1), pages 91-112, April.

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