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Characterization of left-monotone risk aversion in the RDEU model

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  • Mao, Tiantian
  • Hu, Taizhong

Abstract

We extend the characterization of the left-monotone risk aversion developed by Ryan (2006) to the case of unbounded random variables. The notion of weak convergence is insufficient for such an extension. It requires the solution of a host of delicate convergence problems. To this end, some further intrinsic properties of the location independent risk order are investigated. The characterization of the right-monotone risk aversion for unbounded random variables is also mentioned. Moreover, we remove the gap in the proof of the main result in Ryan (2006).

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  • 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.
    • Handle: RePEc:eee:insuma:v:50:y:2012:i:3:p:413-422
    DOI: 10.1016/j.insmatheco.2012.02.003
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    References listed on IDEAS

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    1. Chateauneuf, Alain & Cohen, Michele & Meilijson, Isaac, 2004. "Four notions of mean-preserving increase in risk, risk attitudes and applications to the rank-dependent expected utility model," Journal of Mathematical Economics, Elsevier, vol. 40(5), pages 547-571, August.
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    5. Alain Chateauneuf & Michéle Cohen & Isaac Meilijson, 2005. "More pessimism than greediness: a characterization of monotone risk aversion in the rank-dependent expected utility model," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 25(3), pages 649-667, April.
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    9. Ryan, Matthew J., 2006. "Risk aversion in RDEU," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 675-697, September.
    10. Muller, Alfred, 1998. "Comparing risks with unbounded distributions," Journal of Mathematical Economics, Elsevier, vol. 30(2), pages 229-239, September.
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    Cited by:

    1. Yang, Jianping & Zhuang, Weiwei & Hu, Taizhong, 2014. "Lp-metric under the location-independent risk ordering of random variables," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 321-324.
    2. Wakker, Peter P. & Yang, Jingni, 2021. "Concave/convex weighting and utility functions for risk: A new light on classical theorems," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 429-435.

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