Researchers from Lingnan University Describe Findings in Risk Management (The two-moment decision model with additive risks)

Insurance Weekly News

By a News Reporter-Staff News Editor at Insurance Weekly News -- A new study on Risk Management is now available. According to news reporting originating in Hong Kong, People's Republic of China, by VerticalNews journalists, research stated, "With multiple additive risks, the mean-variance approach and the expected utility approach of risk preferences are compatible if all attainable distributions belong to the same location-scale family. Under this proviso, we survey existing results on the parallels of the two approaches with respect to risk attitudes, the changes thereof, and the comparative statics for simple, linear choice problems under risks."

The news reporters obtained a quote from the research from Lingnan University, "In mean-variance approach all effects can be couched in terms of the marginal rate of substitution between mean and variance. We provide some simple proofs of some previous results."

According to the news reporters, the research concluded: "We apply the theory we stated or developed in our paper to study the behavior of banking firm and study risk-taking behavior with background risk in the mean-variance model."

For more information on this research see: The two-moment decision model with additive risks. Risk Management-Journal of Risk Crisis and Disaster, 2018;20(1):77-94. Risk Management-Journal of Risk Crisis and Disaster can be contacted at: Palgrave Macmillan Ltd, Brunel Rd Bldg, Houndmills, Basingstoke RG21 6XS, Hants, England.

Our news correspondents report that additional information may be obtained by contacting W.K. Wong, Lingnan Univ, Dept. of Econ, Hong Kong, Hong Kong, People's Republic of China. Additional authors for this research include A. Wagener, X. Guo and L.X. Zhu.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1057/s41283-017-0028-6. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

Keywords for this news article include: Hong Kong, People's Republic of China, Asia, Risk Management, Lingnan University.