Comparative higher-degree Ross risk aversion

Jingyuan LI

doi:10.1016/j.insmatheco.2009.07.012

Comparative higher-degree Ross risk aversion

Jingyuan LI

Research output: Journal Publications › Journal Article (refereed) › peer-review

25 Citations (Scopus)

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	https://doi.org/10.1016/j.insmatheco.2009.07.012
Publication status	Published - 1 Dec 2009
Externally published	Yes

Keywords

Comparative statics
Higher-degree Ross risk aversion
Risk premium

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10.1016/j.insmatheco.2009.07.012

Cite this

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title = "Comparative higher-degree Ross risk aversion",

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).",

keywords = "Comparative statics, Higher-degree Ross risk aversion, Risk premium",

author = "Jingyuan LI",

year = "2009",

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doi = "10.1016/j.insmatheco.2009.07.012",

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AU - LI, Jingyuan

PY - 2009/12/1

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N2 - 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).

AB - 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).

KW - Comparative statics

KW - Higher-degree Ross risk aversion

KW - Risk premium

U2 - 10.1016/j.insmatheco.2009.07.012

DO - 10.1016/j.insmatheco.2009.07.012

M3 - Journal Article (refereed)

SN - 0167-6687

VL - 45

SP - 333

EP - 336

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

IS - 3

ER -

Comparative higher-degree Ross risk aversion

Abstract

Keywords

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Cite this