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Generalized Multiplicative Risk Apportionment

College of Economics and Management, Nanjing Forestry University, Nanjing 210037, China
Risks 2019, 7(2), 65;
Received: 12 April 2019 / Revised: 30 May 2019 / Accepted: 4 June 2019 / Published: 12 June 2019
(This article belongs to the Special Issue Model Risk and Risk Measures)
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. View Full-Text
Keywords: multiplicative risk apportionment; mean-preserving spreads; downside risk increase multiplicative risk apportionment; mean-preserving spreads; downside risk increase
MDPI and ACS Style

Wang, H. Generalized Multiplicative Risk Apportionment. Risks 2019, 7, 65.

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