Abstract
This paper concerns SSB utility theory in the monetary context. It introduces a measure of risk aversion and establishes necessary and sufficient conditions for comparative risk aversion. Nonseparable decompositions of an SSB utility function that have the form Φ(x, y)=w(x)w(y)f(x−y) are examined. Risk properties such as constant risk aversion and a delta property are shown to give specific functional forms for an SSB utility function.
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Nakamura, Y. Risk attitudes for nonlinear measurable utility. Ann Oper Res 19, 311–333 (1989). https://doi.org/10.1007/BF02283527
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DOI: https://doi.org/10.1007/BF02283527