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

Xu Guo, Jingyuan Li, Dongri Liu, Jianli Wang

Research output: Contribution to journalArticle

3 Scopus citations

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 languageEnglish (US)
Pages (from-to)144-149
Number of pages6
JournalInsurance: Mathematics and Economics
Volume70
DOIs
Publication statusPublished - Sep 1 2016

    Fingerprint

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty

Cite this