The essays focus on the analysis of multivariate risk, and they present insights in three papers. The first paper extends stochastic dominance to bivariate analysis by incorporating a reference function. Our approach offers flexibility in the selection of a reference function, improving upon previous studies by addressing their limitations more cohesively. The second paper explores a general choice-theoretic characterization of the duality that exists between a mean-utility-preserving increase in correlation and an increase correlation aversion. This sheds light on monotone comparative statics and characterizes cross-partial derivatives of the utility function. The last paper investigates optimal prevention in the presence of correlated non-financial background risk. Under positive correlation, cross-prudence in the non-financial attribute is found to lower optimal prevention.
| Date of Award | 18 Jul 2024 |
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| Original language | English |
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| Awarding Institution | |
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| Supervisor | Jingyuan LI (Supervisor) & Tao SUN (Co-supervisor) |
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