Paper Info
Title
Expected utility operators and possibilistic risk aversion
Abstract
In this paper expected utility operators are introduced as an abstractization of some notions of possibilistic expected utility, already existing in the literature. A general theory of possibilistic risk aversion which encompasses the already existing treatments is developed. The possibilistic risk premium associated with a fuzzy number, a utility function, an expected utility operator and a weighting function is defined. An approximate calculation formula of possibilistic risk premium expressed in terms of Arrow---Pratt index and a possibilistic variance associated with an expected utility operator is obtained. In an abstract context a Pratt-type theorem is proved.
Year
DOI
Venue
2012
10.1007/s00500-012-0851-3
Soft Comput.
Keywords
Field
DocType
Fuzzy number,Expected utility operators,Possibilistic risk aversion
Mathematical optimization,Isoelastic utility,Risk premium,Expected utility hypothesis,Computer science,Subjective expected utility,Operator (computer programming),Risk aversion,Fuzzy number,Von Neumann–Morgenstern utility theorem
Journal
Volume
Issue
ISSN
16
10
1432-7643
Citations 
PageRank 
References 
3
0.39
9
Authors
1
Name
Order
Citations
PageRank
Irina Georgescu17915.48