Decreasing Ross risk aversion: Higher-order generalizations and implications

C-Tier
Journal: Journal of Mathematical Economics
Year: 2014
Volume: 55
Issue: C
Pages: 136-142

Authors (2)

Wang, Jianli (not in RePEc) Li, Jingyuan (Lingnan University)

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We define decreasing higher-degree Ross risk aversion and provide an intuitive interpretation for it. We show that all deteriorations of background risk in the sense of n-th risk increase raise risk aversion in the Arrow–Pratt sense if and only if decreasing (n+1)-th degree Ross risk aversion holds. Meanwhile, the utility functional form of the agent with decreasing (n+1)-th degree Ross risk aversion is specified. Our result also implies decreasing 3-rd degree Ross risk aversion can be used to characterize the sufficient condition of risk vulnerability. Moreover, our analysis shows the implication of decreasing n/m-th (n>m≥1) Ross risk aversion.

Technical Details

RePEc Handle
repec:eee:mateco:v:55:y:2014:i:c:p:136-142
Journal Field
Theory
Author Count
2
Added to Database
2026-01-25