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Article dans une revue Journal of the Operational Research Society Année : 2010

Preserving preference rankings under non-financial background risk

Résumé

We investigate the impact of a non-financial background risk ˜" on the preference rankings between two independent financial risks ˜z1 and ˜z2 for an expected-utility maximizer. More precisely, we provide necessary and sufficient conditions for the alternative (x0 + ˜z1, y0 + ˜") to be preferred to (x0 + ˜z2, y0 + ˜") whenever (x0 + ˜z1, y0) is preferred to (x0 + ˜z2, y0). Utility functions that preserve the preference rankings are fully characterized. Their practical relevance is discussed in light of recent results on the constraints for the modeling of the preference for the disaggregation of harms.
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Dates et versions

halshs-00520072, version 1 (22-09-2010)

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Yannick Malevergne, Béatrice Rey. Preserving preference rankings under non-financial background risk. Journal of the Operational Research Society, 2010, 61, pp.1302-1308. ⟨10.1057/jors.2009.95⟩. ⟨halshs-00520072⟩
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