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首页> 外文期刊>Journal of Economic Dynamics and Control >On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options
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On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options

机译：关于增加的风险，不平等和贫困的措施：孔雀，琴鸟和异国情调

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摘要

We extend the Rothschild and Stiglitz (1970) notion of increasing risk to families of random variables and in this way link their approach to the concept of stochastic processes which are increasing in the convex order. These processes have been introduced in seminal work by Strassen (1965), Doob (1968) and Kellerer (1972), who showed that such processes have the same marginals as a martingale. In fact, we demonstrate that their results include the results of Rothschild and Stiglitz as a special case. Further, we show that it makes sense to look at a larger class of processes, which we refer to as lyrebirds. We also show how these processes link up with the concept of second order stochastic dominance and are helpful in studying the dynamics of inequality and poverty measures. Further applications discussed include geometric and hyperbolic discounting, exotic derivatives and real options. (C) 2015 Elsevier B.V. All rights reserved.
机译：我们将增加风险的Rothschild和Stiglitz（1970）的概念扩展到随机变量族，并以此方式将他们的方法与以凸序增加的随机过程的概念联系起来。这些过程已由Strassen（1965），Doob（1968）和Kellerer（1972）在开创性工作中引入，他们证明这些过程与a具有相同的边际。实际上，我们证明了他们的结果包括Rothschild和Stiglitz的结果作为特例。此外，我们证明了看一类更大的过程是有意义的，我们将其称为琴鸟。我们还展示了这些过程如何与二阶随机支配地位的概念联系起来，并有助于研究不平等和贫困测度的动态。讨论的其他应用包括几何和双曲折现，奇异导数和实物期权。 （C）2015 Elsevier B.V.保留所有权利。

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