Economic consequences of Nth-degree risk increases and Nth-degree risk attitudes

Elyès Jouini; Clotilde Napp; Diego Nocetti

doi:10.1007/s11166-013-9176-6

Economic consequences of Nth-degree risk increases and Nth-degree risk attitudes

Elyès Jouini
, Clotilde Napp
, Diego Nocetti

Université Paris Dauphine
Clarkson University

Research output: Contribution to journal › Article › peer-review

19 Scopus citations

Abstract

We study comparative statics of Nth-degree risk increases within a large class of problems that involve bidimensional payoffs and additive or multiplicative risks. We establish necessary and sufficient conditions for unambiguous impact of Nth-degree risk increases on optimal decision making. We develop a simple and intuitive approach to interpret these conditions: novel notions of directional Nth-degree risk aversion that are characterized via preferences over lotteries.

Original language	English
Pages (from-to)	199-224
Number of pages	26
Journal	Journal of Risk and Uncertainty
Volume	47
Issue number	2
DOIs	https://doi.org/10.1007/s11166-013-9176-6
State	Published - Oct 2013
Externally published	Yes

Keywords

Comparative statics
Nth degree risk increases
Risk disaggregation

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10.1007/s11166-013-9176-6

Cite this

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AB - We study comparative statics of Nth-degree risk increases within a large class of problems that involve bidimensional payoffs and additive or multiplicative risks. We establish necessary and sufficient conditions for unambiguous impact of Nth-degree risk increases on optimal decision making. We develop a simple and intuitive approach to interpret these conditions: novel notions of directional Nth-degree risk aversion that are characterized via preferences over lotteries.

KW - Comparative statics

KW - Nth degree risk increases

KW - Risk disaggregation

UR - https://www.scopus.com/pages/publications/84884809424

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DO - 10.1007/s11166-013-9176-6

M3 - Article

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Economic consequences of Nth-degree risk increases and Nth-degree risk attitudes

Abstract

Keywords

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