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Risk apportionment and multiply monotone targets

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  • Denuit, Michel M.

Abstract

This short note proposes a new interpretation of risk apportionment, in the target-oriented decision-making model. It is shown that these risk attitudes translate into smaller targets, expressing the decision maker’s conservative behavior.

Suggested Citation

  • Denuit, Michel M., 2018. "Risk apportionment and multiply monotone targets," Mathematical Social Sciences, Elsevier, vol. 92(C), pages 74-77.
    • Handle: RePEc:eee:matsoc:v:92:y:2018:i:c:p:74-77
    DOI: 10.1016/j.mathsocsci.2017.09.008
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    References listed on IDEAS

    as
    1. Michel Denuit & Béatrice Rey, 2013. "Another look at risk apportionment," Post-Print halshs-03353453, HAL.
    2. Louis Eeckhoudt & Harris Schlesinger, 2006. "Putting Risk in Its Proper Place," American Economic Review, American Economic Association, vol. 96(1), pages 280-289, March.
    3. Eeckhoudt, Louis & Schlesinger, Harris & Tsetlin, Ilia, 2009. "Apportioning of risks via stochastic dominance," Journal of Economic Theory, Elsevier, vol. 144(3), pages 994-1003, May.
    4. Caballe, Jordi & Pomansky, Alexey, 1996. "Mixed Risk Aversion," Journal of Economic Theory, Elsevier, vol. 71(2), pages 485-513, November.
    5. Denuit, Michel & Rey, Béatrice, 2013. "Another look at risk apportionment," Journal of Mathematical Economics, Elsevier, vol. 49(4), pages 335-343.
    6. Claude Lefèvre & Stéphane Loisel, 2013. "On multiply monotone distributions, continuous or discrete, with applications," Post-Print hal-00750562, HAL.
    7. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    8. Lajeri-Chaherli, Fatma, 2004. "Proper prudence, standard prudence and precautionary vulnerability," Economics Letters, Elsevier, vol. 82(1), pages 29-34, January.
    9. Robert Bordley & Marco LiCalzi, 2000. "Decision analysis using targets instead of utility functions," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 23(1), pages 53-74.
    10. Denuit, Michel & Rey, Béatrice, 2010. "Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes," Mathematical Social Sciences, Elsevier, vol. 60(2), pages 137-143, September.
    11. Denuit, Michel & Rey, Beatrice, 2013. "Another look at risk apportionment," LIDAM Reprints ISBA 2013027, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Marvin H. Berhold, 1973. "The Use of Distribution Functions to Represent Utility Functions," Management Science, INFORMS, vol. 19(7), pages 825-829, March.
    13. Karl Borch, 1968. "Decision Rules Depending On The Probability Of Ruin," Oxford Economic Papers, Oxford University Press, vol. 20(1), pages 1-10.
    14. Michel Denuit & Béatrice Rey, 2010. "Prudence, temperance, edginess, and risk apportionment as decreasing sensitivity to detrimental changes," Post-Print halshs-03353470, HAL.
    15. Gollier, Christian & Pratt, John W, 1996. "Risk Vulnerability and the Tempering Effect of Background Risk," Econometrica, Econometric Society, vol. 64(5), pages 1109-1123, September.
    Full references (including those not matched with items on IDEAS)

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