Abstract
Original language | English |
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Publication status | Published - 6 Aug 2013 |
Event | 2013 American Risk and Insurance Association Annual Meeting - Washington Court Hotel, Washington, United States Duration: 4 Aug 2013 → 7 Aug 2013 http://www.aria.org/meetings/2013_annual_meeting.html |
Conference
Conference | 2013 American Risk and Insurance Association Annual Meeting |
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Country | United States |
City | Washington |
Period | 4/08/13 → 7/08/13 |
Internet address |
Fingerprint
Keywords
- higher-order risk attitudes
- stochastic dominance dependence
- correlation
- covariance
Cite this
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Higher-order risk attitudes toward correlation. / LI, Jingyuan.
2013. Paper presented at 2013 American Risk and Insurance Association Annual Meeting, Washington, United States.Research output: Other Conference Contributions › Conference Paper (other)
TY - CONF
T1 - Higher-order risk attitudes toward correlation
AU - LI, Jingyuan
PY - 2013/8/6
Y1 - 2013/8/6
N2 - Higher-order risk attitudes other than risk aversion (e.g., prudence and temperance) play vital roles both in theoretical and empirical work. While the literature has mainly focused on how they entail a preference for combining “good” outcomes with “bad” outcomes, We consider here an alternative approach which relates higher-order risk attitudes to the sign of correlation. The theoretical result in this paper proposes new insights into economic and financial applications such as risk aversion in the presence of another risk, bivariate stochastic dominance and justifying the first-order approach to moral hazard principal-agent problems.
AB - Higher-order risk attitudes other than risk aversion (e.g., prudence and temperance) play vital roles both in theoretical and empirical work. While the literature has mainly focused on how they entail a preference for combining “good” outcomes with “bad” outcomes, We consider here an alternative approach which relates higher-order risk attitudes to the sign of correlation. The theoretical result in this paper proposes new insights into economic and financial applications such as risk aversion in the presence of another risk, bivariate stochastic dominance and justifying the first-order approach to moral hazard principal-agent problems.
KW - higher-order risk attitudes
KW - stochastic dominance dependence
KW - correlation
KW - covariance
UR - http://commons.ln.edu.hk/sw_master/2833
M3 - Conference Paper (other)
ER -