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Theory and Decision

, Volume 50, Issue 3, pp 239–248 | Cite as

On S-Convexity and Risk Aversion

  • Michel Denuit
  • Claude Lefèvre
  • Marco Scarsini
Article

Abstract

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.

Expected utility theory Actuarial studies s-convex pain functions Stochastic s-convex orders Recursive lotteries 

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Copyright information

© Kluwer Academic Publishers 2001

Authors and Affiliations

  • Michel Denuit
    • 1
  • Claude Lefèvre
    • 1
  • Marco Scarsini
    • 1
  1. 1.Institut de Statistique Université Catholique de LouvainLouvain-la-NeuveBelgium

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