Incremental Risk Vulnerability
Abstract
We present a necessary and sufficient condition on an agent’s utility function for a simple
mean preserving spread in an independent background risk to increase the agent’s risk aver-
sion (incremental risk vulnerability). Gollier and Pratt (1996) have shown that declining
and convex risk aversion as well as standard risk aversion are sufficient for risk vulnerability.
We show that these conditions are also sufficient for incremental risk vulnerability.
In addition, we present sufficient conditions for a restricted set of stochastic increases in an
independent background risk to increase risk aversion.
Journal of Economic Literature Classification Numbers:
D 52, D 81
More intriguing information
1. Ein pragmatisierter Kalkul des naturlichen Schlieβens nebst Metatheorie2. The name is absent
3. Job quality and labour market performance
4. The Role of State Trading Enterprises and Their Impact on Agricultural Development and Economic Growth in Developing Countries
5. ANTI-COMPETITIVE FINANCIAL CONTRACTING: THE DESIGN OF FINANCIAL CLAIMS.
6. The name is absent
7. Types of Tax Concessions for Promoting Investment in Free Economic and Trade Areas
8. Improvements in medical care and technology and reductions in traffic-related fatalities in Great Britain
9. The name is absent
10. SME'S SUPPORT AND REGIONAL POLICY IN EU - THE NORTE-LITORAL PORTUGUESE EXPERIENCE