Abstract
We provide generalized comparative global conditions for higher-degree Ross risk aversion, which are similar to those studied by Ross for risk aversion. This generalization corresponds to the special cases of comparative risk aversion as developed by Ross (1981) and of comparative downside risk aversion as developed by Modica and Scarsini (2005).
| Original language | English |
|---|---|
| Pages (from-to) | 333-336 |
| Number of pages | 4 |
| Journal | Insurance : Mathematics and Economics |
| Volume | 45 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 1 Dec 2009 |
| Externally published | Yes |
Funding
This work is supported by the National Natural Science Foundation of China (General Program) 70602012. The suggestions of an anonymous referee were especially helpful in improving the article. All errors in the article belong to the author.
Keywords
- Comparative statics
- Higher-degree Ross risk aversion
- Risk premium