Economic Consequences of Nth-Degree Risk Increases and Nth-Degree Risk Attitudes

Elyès Jouini (1) , Clotilde Napp (2) , Diego Nocetti (3)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
2 DRM - Dauphine Recherches en Management
3 Clarkson University

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.

Mots clés: Comparative statics; Nth degree risk increases; Risk disaggregation

Domaines: Economies et finances

Elyès Jouini, Clotilde Napp, Diego Nocetti. Economic Consequences of Nth-Degree Risk Increases and Nth-Degree Risk Attitudes. Journal of Risk and Uncertainty, 2013, 47 (2), pp.199-224. ⟨10.1007/s11166-013-9176-6⟩. ⟨halshs-00927270⟩