Catastrophe Aversion and Risk Equity in an Interdependent World

被引：6
|
作者：
Bernard, Carole [1 ,2 ]
Rheinberger, Christoph M. [3 ]
Treich, Nicolas [4 ,5 ]
机构：
[1] Grenoble Ecole Management, F-38000 Grenoble, France
[2] Vrije Univ Brussel, B-1050 Elsene, Belgium
[3] European Chem Agcy, Helsinki 00120, Finland
[4] Univ Toulouse Capitole, Toulouse Sch Econ, F-31000 Toulouse, France
[5] Univ Toulouse Capitole, INRA, F-31000 Toulouse, France
来源：
MANAGEMENT SCIENCE | 2018年 / 64卷 / 10期
关键词：
risk equity; catastrophe aversion; correlation; dependence structure; Pigou-Dalton transfer; PUBLIC RISKS; SOCIAL RISK; DISTRIBUTIONS; INEQUALITIES; DEFINITION; FAIRNESS;
D O I：
10.1287/mnsc.2017.2859
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
Catastrophe aversion and risk equity are important concepts both in risk management theory and practice. Keeney [Keeney RL (1980) Equity and public risk. Oper. Res. 28(3):527-534] was the first to formally define these concepts. He demonstrated that the two concepts are always in conflict. Yet his result is based on the assumption that individual risks are independent. It has therefore limited relevance for real-world catastrophic events. We extend Keeney's result to dependent risks and derive the conditions under which more equity and more correlation between two risks imply a more catastrophic situation. We then generalize some of the results for multiple correlated risks.
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页码：4490 / 4504
页数：15
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