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首页> 外文期刊>The journal of risk and insurance >Mossin's Theorem Given Random Initial Wealth
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Mossin's Theorem Given Random Initial Wealth

机译：给定随机初始财富的莫辛定理

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The purpose of this article is to reexamine Mossin's Theorem under random initial wealth. Conditions necessary and sufficient for Mossin's Theorem depend on the stochastic dependence between risks. The correlation coefficient, however, is not an adequate measure of stochastic dependence in the general expected-utility model, and so other notions of dependence are used to investigate Mossin's Theorem. The inadequacy of the correlation coefficient is illustrated with two counterexamples. Then, using notions of positive and negative dependence measures, we provide necessary and sufficient conditions for a generalized Mossin Theorem to hold. In addition, a generalized Mossin Theorem is interpreted using the notion of a mean preserving spread made popular by Rothschild and Stiglitz (1970). Given a fair premium and dependent stochastic conditions, we show that an individual can obtain a final wealth distribution with less weight in its tails by selecting less than or more than full insurance.
机译：本文的目的是在随机初始财富下重新审查莫辛定理。莫辛定理的必要条件和充分条件取决于风险之间的随机依赖性。但是，在一般的预期效用模型中，相关系数不足以衡量随机依赖，因此其他依赖概念也用于研究莫辛定理。用两个反例来说明相关系数的不足。然后，使用正负依赖度量的概念，我们为广义的Mossin定理提供了必要和充分的条件。此外，广义的Mossin定理是由Rothschild和Stiglitz（1970）提出的保持均值传播的概念来解释的。给定合理的保费和随机随机依赖条件，我们表明，通过选择少于或大于全额保险，个人可以获得最终的财富分配，其尾巴上的权重较小。

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