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Generalized Multiplicative Risk Apportionment

Author

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  • Hongxia Wang

    (College of Economics and Management, Nanjing Forestry University, Nanjing 210037, China)

Abstract

This work examines apportionment of multiplicative risks by considering three dominance orderings: first-degree stochastic dominance, Rothschild and Stiglitz’s increase in risk and downside risk increase. We use the relative n th-degree risk aversion measure and decreasing relative n th-degree risk aversion to provide conditions guaranteeing the preference for “harm disaggregation” of multiplicative risks. Further, we relate our conclusions to the preference toward bivariate lotteries, which interpret correlation-aversion, cross-prudence and cross-temperance.

Suggested Citation

  • Hongxia Wang, 2019. "Generalized Multiplicative Risk Apportionment," Risks, MDPI, vol. 7(2), pages 1-9, June.
    • Handle: RePEc:gam:jrisks:v:7:y:2019:i:2:p:65-:d:239209
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    References listed on IDEAS

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    Cited by:

    1. Loubergé, Henri & Malevergne, Yannick & Rey, Béatrice, 2020. "New Results for additive and multiplicative risk apportionment," Journal of Mathematical Economics, Elsevier, vol. 90(C), pages 140-151.

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