| Article ID: | iaor19983071 |
| Country: | Japan |
| Volume: | 40 |
| Issue: | 4 |
| Start Page Number: | 522 |
| End Page Number: | 535 |
| Publication Date: | Dec 1997 |
| Journal: | Journal of the Operations Research Society of Japan |
| Authors: | Sakagami Yoshitaka |
| Keywords: | risk |
In this paper, we consider the comparative statistics of shifts in risk. First, we take up the Stochastic order which appears in Landsberger and Meilijson and also in Eeckhoudt and Gollier. This order which we call, in this paper, the ‘monotone generalized probability ratio’ (MGPR) order lies between the ‘monotone probability ratio’ order and the ‘second-degree stochastic dominance’ order. We examine the comparative statistics of the MGPR Shift in risk in the economic model used by Eeckhoudt and Gollier. Second, we consider the ‘third-degree stochastic dominance’ (TSD) shift and the TSD transformation and discuss their comparative statistics in some economic models.