Name
Abstract | ||
|---|---|---|
This paper deals with the analysis of risk aversion of an agent faced with a situation of uncertainty with several risk parameters. These risk parameters are represented by fuzzy numbers and the attitude of the agent to the risk situation by a multidimensional utility function. Risk aversion is measured by the notion of generalized possibilistic risk premium. The main result of the paper is an approximate calculation formula of generalized possibilistic risk premium in terms of the utility function and of possibilistic indicators (mean value and covariance). |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1016/j.mcm.2011.03.011 | Computational Intelligence and Informatics |
Keywords | Field | DocType |
utility function,possibility theory,paper deal,fuzzy number,risk aversion,multidimensional utility function,generalized possibilistic risk premium,risk parameter,risk premium,possibilistic indicator,multidimensional possibilistic risk aversion,approximate calculation formula,risk situation,nickel,mathematical model,random variables,uncertainty,risk analysis,utility theory,probabilistic logic | Econometrics,Random variable,Risk analysis (business),Risk premium,Computer science,Possibility theory,Multivariate random variable,Probabilistic logic,Risk aversion,Fuzzy number | Journal |
Volume | Issue | ISSN |
54 | 1-2 | Mathematical and Computer Modelling |
ISBN | Citations | PageRank |
978-1-4244-9280-0 | 7 | 0.67 |
References | Authors | |
11 | 2 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Irina Georgescu | 1 | 79 | 15.48 |
| Jani Kinnunen | 2 | 14 | 4.20 |