On S-convexity and risk aversion

Marco Scarsini (1, 2) , Michel Denuit , Claude Lefevre

1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
2 Dipartimento di Scienze Economiche e Aziendali

The present note first discusses the concept of s-convex pain functions in decision theory. Then, the economic behavior of an agent with such a pain function is represented through the comparison of some recursive lotteries.

Keywords: Expected utility theory; Actuarial studies; s-convex pain functions; Stochastic s-convex orders; Insurance; Decision theory; Utility theory; Risk aversion; Lottery; Recursive method; Convex function

Keywords: Assurance; Théorie décision; Théorie utilité; Aversion risque; Loterie; Méthode récursive; Fonction convexe

Domains: Economy and decision science

Marco Scarsini, Michel Denuit, Claude Lefevre. On S-convexity and risk aversion. Theory and Decision, 2001, Vol. 50, N°3, pp. 239-248. ⟨10.1023/A:1010336203373⟩. ⟨hal-00540202⟩