Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257903 
Authors: 
Year of Publication: 
2019
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 7 [Issue:] 2 [Article No.:] 65 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-9
Publisher: 
MDPI, Basel
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 nth-degree risk aversion measure and decreasing relative nth-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.
Subjects: 
multiplicative risk apportionment
mean-preserving spreads
downside risk increase
JEL: 
D81
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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