Comparative higher-degree Ross risk aversion

Research output: Journal PublicationsJournal Article (refereed)

22 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 languageEnglish
Pages (from-to)333-336
Number of pages4
JournalInsurance : Mathematics and Economics
Volume45
Issue number3
DOIs
Publication statusPublished - 1 Dec 2009
Externally publishedYes

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Keywords

  • Comparative statics
  • Higher-degree Ross risk aversion
  • Risk premium

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