Economic consequences of Nth-degree risk increases and Nth-degree risk attitudes
Jouini, Elyès; Napp, Clotilde; Nocetti, Diego (2013), Economic consequences of Nth-degree risk increases and Nth-degree risk attitudes, Journal of risk and uncertainty, 47, 2, p. 199-224. http://dx.doi.org/10.1007/s11166-013-9176-6
TypeArticle accepté pour publication ou publié
Journal nameJournal of risk and uncertainty
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Abstract (EN)We study comparative statics of Nth-degree risk increases within a large class of problems that involve bidimensional payoffs and additive or multiplicative risks. We establish necessary and sufficient conditions for unambiguous impact of Nth-degree risk increases on optimal decision making. We develop a simple and intuitive approach to interpret these conditions : novel notions of directional Nth-degree risk aversion that are characterized via preferences over lotteries.
Subjects / KeywordsComparative statics; Nth degree risk increases; Risk disaggregation
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Properties of the Social Discount Rate in a Benthamite Framework with Heterogeneous Degrees of Impatience Jouini, Elyès; Napp, Clotilde; Nocetti, Diego (2008) Article accepté pour publication ou publié