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1997•Journal of the Operations Research Society of JapanOpen access

THE COMPARATIVE STATICS OF SHIFTS IN RISK

Yoshitaka Sakagami

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Abstract

In this paper, we consider the comparative statics of shifts in risk. First, we take up the stochastic order which appears in Landsberger and Meilijson [9] and also in Eeckhoudt and Gollier [2]. This order which we call, in this paper, the "monotone generalized probability ratio" (MGPR) order lies between the "monotone probability ratio"(MPR) order and the "second-degree stochastic dominance" (SSD) order. We examine the comparative statics of the MGPR shift in risk in the economic model used by Eeckhoudt, and Gollier [2] Second we consider the "third degree stochastic dominance" (TSD) shift and t,he TSD transformation and discuss their comparative statics in some economic models.

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In this paper, we consider the comparative statics of shifts in risk. First, we take up the stochastic order which appears in Landsberger and Meilijson [9] and also in Eeckhoudt and Gollier [2]. This order which we call, in this paper, the "monotone generalized probability ratio" (MGPR) order lies between the "monotone probability ratio"(MPR) order and the "second-degree stochastic dominance" (SSD) order. We examine the comparative statics of the MGPR shift in risk in the economic model used by Eeckhoudt, and Gollier [2] Second we consider the "third degree stochastic dominance" (TSD) shift and t,he TSD transformation and discuss their comparative statics in some economic models.

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Available abstract

In this paper, we consider the comparative statics of shifts in risk. First, we take up the stochastic order which appears in Landsberger and Meilijson [9] and also in Eeckhoudt and Gollier [2]. This order which we call, in this paper, the "monotone generalized probability ratio" (MGPR) order lies between the "monotone probability ratio"(MPR) order and the "second-degree stochastic dominance" (SSD) order. We examine the comparative statics of the MGPR shift in risk in the economic model used by Eeckhoudt, and Gollier [2] Second we consider the "third degree stochastic dominance" (TSD) shift and t,he TSD transformation and discuss their comparative statics in some economic models.

Key concepts: Comparative statics, Stochastic dominance, Statics, Monotone polygon, Order (exchange), Dominance (genetics), Degree (music), Mathematics

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