{"title":"相关非财务背景风险存在下的财务风险承担","authors":"W. Chiu","doi":"10.2139/ssrn.3175824","DOIUrl":null,"url":null,"abstract":"This paper characterizes the stochastic deterioration resulting from taking a zero-mean financial risk in the presence of correlated non-financial background risk. We show in particular that it has an equivalent stochastic order as well as a necessary and sufficient \"integral condition'' that implies and is implied by a particular sense in which the stochastic deterioration can be decomposed into a \"correlation increase'' and a \"marginal risk increase''. We further characterize a measure of aversion to the stochastic deterioration. These characterizations provide for a more general framework for formulating concepts of increases in risk and correlation and for better understanding risk management decisions governed by individuals' attitudes to them.","PeriodicalId":260073,"journal":{"name":"Mathematics eJournal","volume":"73 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2020-02-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Financial Risk Taking in the Presence of Correlated Non-Financial Background Risk\",\"authors\":\"W. Chiu\",\"doi\":\"10.2139/ssrn.3175824\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper characterizes the stochastic deterioration resulting from taking a zero-mean financial risk in the presence of correlated non-financial background risk. We show in particular that it has an equivalent stochastic order as well as a necessary and sufficient \\\"integral condition'' that implies and is implied by a particular sense in which the stochastic deterioration can be decomposed into a \\\"correlation increase'' and a \\\"marginal risk increase''. We further characterize a measure of aversion to the stochastic deterioration. These characterizations provide for a more general framework for formulating concepts of increases in risk and correlation and for better understanding risk management decisions governed by individuals' attitudes to them.\",\"PeriodicalId\":260073,\"journal\":{\"name\":\"Mathematics eJournal\",\"volume\":\"73 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-02-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Mathematics eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3175824\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Mathematics eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3175824","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Financial Risk Taking in the Presence of Correlated Non-Financial Background Risk
This paper characterizes the stochastic deterioration resulting from taking a zero-mean financial risk in the presence of correlated non-financial background risk. We show in particular that it has an equivalent stochastic order as well as a necessary and sufficient "integral condition'' that implies and is implied by a particular sense in which the stochastic deterioration can be decomposed into a "correlation increase'' and a "marginal risk increase''. We further characterize a measure of aversion to the stochastic deterioration. These characterizations provide for a more general framework for formulating concepts of increases in risk and correlation and for better understanding risk management decisions governed by individuals' attitudes to them.