"Preserving the Rothschild–Stiglitz type of increasing risk with backgr" by Xu GUO, Jingyuan LI et al.
 

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

Document Type

Journal article

Source Publication

Insurance: Mathematics and Economics

Publication Date

9-2016

Volume

70

First Page

144

Last Page

149

Publisher

Elsevier BV

Keywords

Increasing risk, Background risk, Expectation dependence, Mean-preserving spread, Comparison of 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.

DOI

10.1016/j.insmatheco.2016.06.008

Print ISSN

01676687

E-ISSN

18735959

Funding Information

The research described here was supported by the Natural Science Foundation of Jiangsu Province, China, Grant No. BK20150732; the National Natural Science Foundation of China with Grant No. 71401074; General Research Fund of the Hong Kong Research Grants Council under Research Project No. LU13500814; the Faculty Research Grant of Lingnan University under Research Project No. DB15A2 and No. DB16A1. {BK20150732, 71401074, LU13500814, DB15A2, DB16A1}

Publisher Statement

Copyright © 2016 Elsevier B.V.. Access to external full text or publisher's version may require subscription.

Full-text Version

Publisher’s Version

Language

English

Recommended Citation

Guo, X., Li, J. Y., Liu, D. R., & Wang, J. L. (2016). Preserving the Rothschild–Stiglitz type of increasing risk with background risk. Insurance: Mathematics and Economics, 70, 144-149. doi: 10.1016/j.insmatheco.2016.06.008

Plum Print visual indicator of research metrics
PlumX Metrics
  • Citations
    • Citation Indexes: 5
  • Usage
    • Abstract Views: 18
  • Captures
    • Readers: 5
see details

Share

COinS
Plum Print visual indicator of research metrics
  • Citations
    • Citation Indexes: 5
  • Usage
    • Abstract Views: 18
  • Captures
    • Readers: 5
see details