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Comparative mixed risk aversion

Author

Listed:
  • Dachraoui, Kais

    (Université de Montréal)

  • Dionne, Georges

    (HEC Montreal, Canada Research Chair in Risk Management)

  • Eeckhoudt, Louis

    (Université Catholique de Louvain)

  • Godfroid, Philippe

    (Université Catholique de Louvain)

Abstract

Recently, Caballé and Pomansky (1996) proposed a formal definition of mixed risk aversion and characterized stochastic dominance in presence of such utility functions. However they did not study comparative mixed risk aversion. In this note we give a sufficient condition for analytic comparative mixed risk aversion.

Suggested Citation

  • Dachraoui, Kais & Dionne, Georges & Eeckhoudt, Louis & Godfroid, Philippe, 2000. "Comparative mixed risk aversion," Working Papers 00-10, HEC Montreal, Canada Research Chair in Risk Management.
    • Handle: RePEc:ris:crcrmw:2000_010
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    Cited by:

    1. Dionne, Georges & Lebeau, Martin, 2010. "Le calcul de la valeur statistique d’une vie humaine," L'Actualité Economique, Société Canadienne de Science Economique, vol. 86(4), pages 487-530, décembre.
    2. Grönqvist, Erik, 2004. "Does Adverse Selection Matter? Evidence from a Natural Experiment," SSE/EFI Working Paper Series in Economics and Finance 575, Stockholm School of Economics.
    3. Loïc Berger, 2011. "Does Ambiguity Aversion Raise the Optimal Level of Effort? A Two-Period Model," Working Papers ECARES ECARES 2011-021, ULB -- Universite Libre de Bruxelles.

    More about this item

    Keywords

    Mixed risk aversion; comparative mixed risk aversion; self-protection; willingness to pay; proper risk behavior;
    All these keywords.

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General

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