Another tale of two tails: On characterizations of comparative risk

We characterize 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 Meilijson (1990a). The main idea is to restrict the possible mean preserving spreads to an arbitrary subset.

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Year of publication:	1996-10
Authors:	Mueller, Alfred
Institutions:	Risk and Insurance Archive
Subject:	increasing risk \| stochastic dominance \| mean preserving spreads \| classes of utility functions

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005838350