On risk aversion with two risks

Israel Finkelshtain*, Offer Kella, Marco Scarsini

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

38 Scopus citations


We consider necessary and sufficient conditions for risk aversion to one risk in the presence of another non-insurable risk. The conditions (on the bivariate utility function) vary according to the conditions imposed on the joint distribution of the risks. If only independent risks are considered, then any utility function which is concave in its first argument will satisfy the condition of risk aversion. If risk aversion is required for all possible pairs of risks, then the bivariate utility function has to be additively separable. An interesting intermediate case is obtained for random pairs that possess a weak form of positive dependence. In that case, the utility function will exhibit both risk aversion (concavity) in its first argument, and bivariate risk aversion (submodularity).

Original languageAmerican English
Pages (from-to)239-250
Number of pages12
JournalJournal of Mathematical Economics
Issue number2
StatePublished - Mar 1999

Bibliographical note

Funding Information:
We thank two referees for their helpful comments. Support from the Lady Davis Fellowship Trust is gratefully acknowledged.


  • Bivariate risk aversion
  • Concavity
  • Positive dependence
  • Risk aversion
  • Submodularity


Dive into the research topics of 'On risk aversion with two risks'. Together they form a unique fingerprint.

Cite this