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New Results for Additive and Multiplicative Risk Apportionment

Abstract : 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.
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https://halshs.archives-ouvertes.fr/halshs-02100855
Contributor : Nelly Wirth <>
Submitted on : Tuesday, April 16, 2019 - 12:02:10 PM
Last modification on : Monday, June 29, 2020 - 4:12:02 PM

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  • HAL Id : halshs-02100855, version 1

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Henri Loubergé, Yannick Malevergne, Béatrice Rey. New Results for Additive and Multiplicative Risk Apportionment. 2019. ⟨halshs-02100855⟩

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