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Bernard, Carole, Rheinberger, Christoph M.
and Treich, Nicolas
(2018)
Catastrophe Aversion and Risk Equity in an Interdependent World.
Management Science, 64 (10).
pp. 4471-4965.
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Abstract
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.
| Item Type: | Article |
|---|---|
| Language: | English |
| Date: | October 2018 |
| Refereed: | Yes |
| Uncontrolled Keywords: | risk equity, catastrophe aversion, correlation, dependence |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Site: | UT1 |
| Date Deposited: | 19 May 2017 07:16 |
| Last Modified: | 18 Apr 2024 11:33 |
| OAI Identifier: | oai:tse-fr.eu:31748 |
| URI: | https://publications.ut-capitole.fr/id/eprint/24096 |
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Catastrophe Aversion and Risk Equity in an Interdependent World. (deposited 18 May 2017 12:58)
- Catastrophe Aversion and Risk Equity in an Interdependent World. (deposited 19 May 2017 07:16) [Currently Displayed]
