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2019
- handle: 10670/1.uqfvd9
- halshs: halshs-02100855
info:eu-repo/semantics/OpenAccess
Mots-clés
Additive risks Constant relative risk aversion Multiplicative risks Preserved preference ranking Risk apportionment D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D81 - Criteria for Decision-Making under Risk and UncertaintySujets proches
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Henri Loubergé et al., « New Results for Additive and Multiplicative Risk Apportionment », HAL-SHS : économie et finance, ID : 10670/1.uqfvd9
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Résumé
We start by pointing out a simple property of risk apportionment with additive risks in the general stochastic dominance context defined by Eeckhoudt et al. (2009b). Quite generally, an observed preference for risk apportionment with additive risks in a specific risk environment is preserved when the decision-maker is confronted to other risk situations, so long as the total order of stochastic dominance relationships among pairs of risks remains the same. Our objective is to check whether this simple property also holds for multiplicative risk environments. We show that this is not the case, in general, but that the property holds and more strongly for the case of CRRA utility functions. This is due to a particular feature of CRRA functions that we unveil.