Projects per year
Background risk refers to a risk that is exogenous and is not subject to transformations by a decision-maker. In this paper, we extend the definition of the Rothschild–Stiglitz type of increasing risk to a background risk framework. We theoretically investigate a more general definition of increase in risk in the presence of background risk. The results suggest that an extended concept of expectation dependence plays a vital role.
|Number of pages||6|
|Journal||Insurance: Mathematics and Economics|
|Early online date||22 Jun 2016|
|Publication status||Published - Sept 2016|
Bibliographical noteThe research described here was supported by the Natural Science Foundation of Jiangsu Province, China, Grant No. BK20150732; the National Natural Science Foundation of China with Grant No. 71401074; General Research Fund of the Hong Kong Research Grants Council under Research Project No. LU13500814; the Faculty Research Grant of Lingnan University under Research Project No. DB15A2 and No. DB16A1.
- Background risk
- Comparison of risk
- Expectation dependence
- Increasing risk
- Mean-preserving spread
FingerprintDive into the research topics of 'Preserving the Rothschild–Stiglitz type of increasing risk with background risk'. Together they form a unique fingerprint.
- 1 Finished
Explain Two Puzzles in Macro-Finance by Higher-Order Risk Attitudes and Background Risks (運用高階風險規避和背景風險的方法研究兩個宏觀金融之謎)
LI, J., DIONNE, G. & OKOU, C.
Research Grants Council (HKSAR)
1/01/15 → 31/12/16
Project: Grant Research