Abstract This paper characterizes the stochastic deterioration resulting from taking a zero-mean financial risk in the presence of correlated non-financial background risk. We show in particular that it has an equivalent stochastic order as well as a necessary and sufficient “integral condition” that implies and is implied by a particular sense in which the stochastic deterioration can be decomposed into a “correlation increase” and a “marginal risk increase”. We further characterize a measure of aversion to the stochastic deterioration. These characterizations provide for a more general framework for formulating concepts of increases in risk and correlation and for better understanding risk management decisions governed by individuals’ attitudes to them.

中文翻译：

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在存在相关非金融背景风险的情况下承担金融风险

摘要 本文描述了在存在相关非金融背景风险的情况下采取零均值金融风险导致的随机恶化。我们特别表明，它具有等价的随机顺序以及充分必要的“积分条件”，该条件暗示并由特定意义暗示，其中随机恶化可以分解为“相关性增加”和“边际风险”增加”。我们进一步描述了对随机恶化的厌恶程度。这些特征提供了一个更一般的框架，用于制定风险和相关性增加的概念，并更好地理解由个人对他们的态度决定的风险管理决策。