Denuit, Michel
[UCL]
Mesfioui, Mhamed
In order to generalize previous results by Li et al. (2016), Guo et al. (2016) extended the definition of the Rothschild–Stiglitz type of increase in risk to a background risk framework. They provided several sufficient conditions for such a ranking to hold, involving expectation dependence concepts. In this short note, the corresponding characterizations are established, based on the bivariate higher-degree increasing concave orders introduced by Denuit et al. (1999).
Bibliographic reference |
Denuit, Michel ; Mesfioui, Mhamed. Preserving the Rothschild–Stiglitz type increase in risk with background risk: A characterization. In: Insurance: Mathematics and Economics, Vol. 72, p. 1-5 (2017) |
Permanent URL |
http://hdl.handle.net/2078.1/179332 |