RT journal article
T1 Ordering higher risks in Yaari's dual theory
A1 Castaño Martínez, Antonia
A1 Pigueiras Voces, Gema
A1 Ramos González, Carmen Dolores
A1 Sordo Díaz, Miguel Ángel
A2 Estadística e Investigación Operativa
K1 risk distribution
K1 stochastic dominance
K1 dual theory
K1 distortion function
AB In Yaari's (1987) dual theory of choice under risk, risks preferences are based on a functional that epends on a subjective function called distortion. In the context of Wang's (1996) premium principle, Wang and Young (1998) considered a sequence of classes of partial orderings of risk distributions characterizing the preferences of groups of risk averse agents that base decisions on this functional. Under this approach, if a distribution is perceived as less risky than another, the mean of the former is smaller or equal to the latter's, making some risk distributions of interest non-comparable. In this paper, we study a sequence of partial orders of risk distributions based on comparisons of successive integrals of TVaR curves that characterize the preferences of groups of agents exclusively concerned with large risks higher than the expected values. [This version: September 3, 2022]
YR 2025
FD 2025
LK http://hdl.handle.net/10498/27782
UL http://hdl.handle.net/10498/27782
LA eng
NO We acknowledge support received from the Ministerio de Ciencia e Innovación (Spain) under grant PID2020-116216GB-I00.
DS Repositorio Institucional de la Universidad de Cádiz
RD 08-nov-2026