Comparing strong risk aversion in Yaari's dual theory of risk
M. Á. Sordo, A. Castaño Martínez, C. Ramos González, G. Pigueiras Voces
In the context of Yaari's dual theory of risk, Wang and Young (1998) provided motivation, both from the economic and statistical approaches, for a sequence of distortion-free partial orderings of risks. However, this approach may be inadequate to compare behaviours of strong risk aversion, where the agents are mainly concerned with losses above some threshold value. Our purpose is to overlap this gap and provide motivation, both from economic and statistical approaches, for weaker distortion-free partial ordering of risks when the agents behavior is focussed on aversion to very large losses.
Keywords: stochastic order, stop-loss, distortion risk measure
Scheduled
GT12 Stochastic Orders and their Applications III
June 8, 2022 5:20 PM
A05
Other papers in the same session
J. Cárcamo Urtiaga, A. Baíllo, C. Mora-Corral
A. J. Bello Espina, J. Mulero González, M. Á. Sordo Díaz, A. Suárez Llorens
A. Baíllo Moreno, J. Cárcamo Urtiaga, C. Mora Corral
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6/8/22
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