relation: https://publications.ut-capitole.fr/id/eprint/24096/
title: Catastrophe Aversion and Risk Equity in an Interdependent World
creator: Bernard, Carole
creator: Rheinberger, Christoph M.
creator: Treich, Nicolas
subject: B- ECONOMIE ET FINANCE
description: Catastrophe aversion and risk equity are important concepts in both risk management theory and practice. Keeney (1980) was the first to formally define these concepts. He demonstrated that the two concepts are always in conflict. Yet this result is based on the assumption that individual risks are independent and has thus limited relevance for real world catastrophic events. We extend Keeney’s result to dependent risks and derive the conditions under which more correlation between two risks induces a more catastrophic risk. We then generalize some of the results for multiple correlated risks.
publisher: INFORMS
date: 2018-10
type: Article
type: PeerReviewed
format: text
language: en
identifier: https://publications.ut-capitole.fr/id/eprint/24096/1/wp_tse_811.pdf
identifier:   Bernard, Carole, Rheinberger, Christoph M. <https://www.idref.fr/241586941> and Treich, Nicolas <https://www.idref.fr/176599940>  (2018) Catastrophe Aversion and Risk Equity in an Interdependent World.    Management Science, 64 (10).  pp. 4471-4965.       
relation: http://tse-fr.eu/pub/31748
relation: 10.1287/mnsc.2017.2859
identifier: 10.1287/mnsc.2017.2859
doi: 10.1287/mnsc.2017.2859
language: en