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The Distributional Change in Second-Degree Stochastic Dominance and Its Decomposition

김일태|류수열
한국경제학회 (The Korean Economic Association)|2004.12|The Korean Economic Review|제20권 제2호|pp. 263-274

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참고문헌

주제분류경제학

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Abstract

This paper introduces a new concept, a left-side strong second-degree stochastic dominance (L-SSSD) shift which includes a left-side strong increase in risk (L-SIR) shift and proves that an L-SSSD can be decomposed into an L-SIR and one subset of first-degree stochastic dominance (FSD) which is a subset of a monotone probability ratio (MPR). We show that one can obtain an intuitively appealing comparative statics result for L-SSSD shifts by using the risk preferences of risk-averse individuals with prudence.

참고문헌 (16)

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관련 논문AI추천

Decomposition of Stochastic Dominance Orders and Their Comparative Statics Under Prudence김수종, 김일태, 류수열한국경제통상학회 · 경제연구2015 · 제33권 제2호Comparative Statics on the Left-Side Relatively Weak First-Degree Stochastic Dominance Order and Its Applications김일태, 류수열경제연구소 · Seoul Journal of Economics2003 · 제16권 제1호First-degree Stochastic Dominance and the Demand for Insurance김일태, 류수열, 윤성민한국금융공학회 · 金融工學硏究2012 · 제11권 제4호The Comparative Statics for the Subset of Second-Degree Stochastic Dominance Changes under Risk Aversion김일태, 류수열한국경제통상학회 · 경제연구2013 · 제31권 제1호Comparative Statics under Uncertainty with the Monotone Likelihood Ratio Order김수종, 류수열한국경제학회 · The Korean Economic Review2004 · 제20권 제2호Increases in Risk with Multiple Crossing and Their Comparative Statics김일태, 류수열한국경제통상학회 · 경제연구2012 · 제30권 제2호

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