Preserving the Rothschild-Stiglitz type of increasing risk with background risk

Xu Guo; Jingyuan Li; Dongri Liu; Jianli Wang

doi:10.1016/j.insmatheco.2016.06.008

Preserving the Rothschild-Stiglitz type of increasing risk with background risk

Xu Guo, Jingyuan Li, Dongri Liu, Jianli Wang

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Abstract

Background risk refers to a risk that is exogenous and is not subject to transformations by a decision-maker. In this paper, we extend the definition of the Rothschild-Stiglitz type of increasing risk to a background risk framework. We theoretically investigate a more general definition of increase in risk in the presence of background risk. The results suggest that an extended concept of expectation dependence plays a vital role.

Original language	English (US)
Pages (from-to)	144-149
Number of pages	6
Journal	Insurance: Mathematics and Economics
Volume	70
DOIs	https://doi.org/10.1016/j.insmatheco.2016.06.008
State	Published - Sep 1 2016

All Science Journal Classification (ASJC) codes

Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty

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10.1016/j.insmatheco.2016.06.008

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title = "Preserving the Rothschild-Stiglitz type of increasing risk with background risk",

abstract = "Background risk refers to a risk that is exogenous and is not subject to transformations by a decision-maker. In this paper, we extend the definition of the Rothschild-Stiglitz type of increasing risk to a background risk framework. We theoretically investigate a more general definition of increase in risk in the presence of background risk. The results suggest that an extended concept of expectation dependence plays a vital role.",

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AU - Guo, Xu

AU - Li, Jingyuan

AU - Liu, Dongri

AU - Wang, Jianli

PY - 2016/9/1

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AB - Background risk refers to a risk that is exogenous and is not subject to transformations by a decision-maker. In this paper, we extend the definition of the Rothschild-Stiglitz type of increasing risk to a background risk framework. We theoretically investigate a more general definition of increase in risk in the presence of background risk. The results suggest that an extended concept of expectation dependence plays a vital role.

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JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

ER -

Preserving the Rothschild-Stiglitz type of increasing risk with background risk

Abstract

All Science Journal Classification (ASJC) codes

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