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Correlation aversion and bivariate stochastic dominance with respect to reference functions

Author

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  • Li, Jingyuan
  • Wang, Jianli
  • Zhou, Lin

Abstract

This paper introduces an extension of stochastic dominance, moving from univariate to bivariate analysis by incorporating a reference function. Our approach offers flexibility in reference function selection, improving upon previous studies cohesively. Bivariate orderings are invaluable tools in actuarial sciences, facilitating the assessment and management of dependencies between risks and lifelengths within multiple insurance contracts. These advancements hold promising practical implications, particularly within the actuarial sciences domain.

Suggested Citation

  • Li, Jingyuan & Wang, Jianli & Zhou, Lin, 2024. "Correlation aversion and bivariate stochastic dominance with respect to reference functions," Insurance: Mathematics and Economics, Elsevier, vol. 118(C), pages 157-174.
    • Handle: RePEc:eee:insuma:v:118:y:2024:i:c:p:157-174
    DOI: 10.1016/j.insmatheco.2024.06.005
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    More about this item

    Keywords

    Bivariate stochastic dominance; Correlation aversion; Reference function;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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