✦ LIBER ✦

233006 (M10) A unified approach to the study of tail probabilities of compound distributions: Cai and J., Garrido J.,The University of Melbourne, Centre for Actuarial Studies, Research paper No. 56, April 1998

Publisher: Elsevier Science
Year: 1998
Tongue: English
Weight: 91 KB
Volume: 23
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(98)90015-4

No coin nor oath required. For personal study only.

✦ Synopsis

The author characterizes the classes of utility functions that are consistent with different notions of mean preserving spreads introduced in the literature. This gives rise to a unified approach and extension of some definitions of increasing risk, including the concepts of Rothschild and Stiglitz (1970) and Landsberger and Mailijson (1990a, b). The main idea is to restrict the centers of the mean preserving spreads to an arbitrary subset.

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