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Article Dans Une Revue Journal of Mathematical Economics Année : 2014

Decreasing downside risk aversion and background risk

David Crainich
Louis Eeckhoudt
  • Fonction : Auteur
Olivier Le Courtois
  • Fonction : Auteur

Résumé

In this paper, we indicate that risk vulnerability can be associated with the concept of downside risk aversion (DRA) and an assumption about its behavior, namely that it is decreasing in wealth. Specifically, decreasing downside risk aversion in the Arrow-Pratt and Ross senses are respectively necessary and sufficient for a background risk to raise the aversion to other independent risks.
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Dates et versions

hal-02313171 , version 1 (18-03-2020)

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  • HAL Id : hal-02313171 , version 1

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David Crainich, Louis Eeckhoudt, Olivier Le Courtois. Decreasing downside risk aversion and background risk. Journal of Mathematical Economics, 2014, 53, pp.59-63 P. ⟨hal-02313171⟩

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