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

Puntos extremos de curvas de Lorenz y aplicaciones al análisis de la desigualdad

J. Cárcamo Urtiaga, A. Baíllo, C. Mora-Corral

Comparaciones estocásticas parciales basadas en los valores en riesgo de cola

A. J. Bello Espina, J. Mulero González, M. Á. Sordo Díaz, A. Suárez Llorens

A bidimensional inequality index: inference and almost Lorenz dominance

A. Baíllo Moreno, J. Cárcamo Urtiaga, C. Mora Corral

Latest news

  • 6/8/22
    Visit Alhambra

    Tomorrow, Thursday, we will visit the Alhambra. 1. At 7:00 p.m., buses will start leaving from the door of the Hotel Granada Center (in front of the door of the Faculty of Sciences) 2. Upon arrival, groups with guides will be organized. 3. There will be groups in English language. These groups will wait at the destination until the arrival of all buses. 4. After the visit to the Alhambra we will walk to the Carmen de los Mártires to have a cocktail. 5. On the way back, we can go back by bus, which will leave from the same place where they left us at the Alhambra. 6. Although the way to the Alhambra by bus seems long, it really is close to the city. We invite you, whoever wishes, to go down for a pleasant walk. 7. Do not forget to take your Alhambra ticket and your identity card or passport. The document must be the same whose number matches the ticket number you have.

  • 5/31/22
    YouTube Channel

    The menu label is already on the web from where you can see the live broadcasts: inauguration, plenary sessions, round tables,... Don't forget to enter the YouTube channel and subscribe!!!!

  • 5/27/22
    Gala Dinner

    It opens the possibility that anyone who is registered for the conference, and wants non-registered companions to attend the gala dinner, can do so by paying the price of this dinner (80 euros VAT included). This payment must be made before June 1 (inclusive). To do this, contact with [email protected]

  • 5/23/22
    IMPORTANT WARNING

    To access the Alhambra on the visit on Thursday 9, it is obligatory to present the identification document whose reference was sent to the organization (eurocongress)

  • 5/16/22
    Social Events

    All social events are included with the payment of the corresponding registration.

Organizers

Partners

Sponsors

Cookie policy

We use cookies in order to be able to identify and authenticate you on the website. They are necessary for the correct functioning of it, and therefore they can not be disabled. If you continue browsing the website, you are agreeing with their acceptance, as well as our Privacy Policy.

Additionally, we use Google Analytics in order to analyze the website traffic. They also use cookies and you can accept or refuse them with the buttons below.

You can read more details about our Cookie Policy and our Privacy Policy.