IDEAS home Printed from https://ideas.repec.org/a/pal/genrir/v26y2001i1p25-41.html
   My bibliography  Save this article

A General Theorem on the Comparative Statics of Changes in Risk

Author

Listed:
  • Arthur Hau

    (Assistant Professor, Department of Economics and Finance, University of Central Arkansas, 201 Donaghey Avenue, Conway, AR 72035, USA, e-mail: ahau@mail.uca.edu)

Abstract

In this paper, the concept of “absolutely riskier than” is introduced to generalize Gollier's (Journal of Economic Theory, 66, 522–535) necessary and sufficient conditions for the comparative statics of a change in risk for risk averters. The restrictive assumption that the payoff function is monotonic in the risk is relaxed. The “policymaker's choice problem,” the “newsboy problem,” and a farmer's example are used to illustrate how easily the monotonicity assumption is violated. Finally, some important properties of the concept of “absolutely riskier than,” such as its relation with the concept of “second-order stochastic dominance,” are illustrated using the farmer's example. The Geneva Papers on Risk and Insurance Theory (2001) 26, 25–41. doi:10.1023/A:1011260207279

Suggested Citation

  • Arthur Hau, 2001. "A General Theorem on the Comparative Statics of Changes in Risk," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 26(1), pages 25-41, June.
    • Handle: RePEc:pal:genrir:v:26:y:2001:i:1:p:25-41
    as

    Download full text from publisher

    File URL: http://www.palgrave-journals.com/grir/journal/v26/n1/pdf/grir2001131a.pdf
    File Function: Link to full text PDF
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: http://www.palgrave-journals.com/grir/journal/v26/n1/full/grir2001131a.html
    File Function: Link to full text HTML
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tzeng, Larry Y. & Wang, Jen-Hung, 2004. "Increase in risk and saving behavior," Journal of Economics and Business, Elsevier, vol. 56(5), pages 405-414.
    2. Hau, Arthur, 2006. "Production under uncertainty with insurance or hedging," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 347-359, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:genrir:v:26:y:2001:i:1:p:25-41. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.