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A Probabilistic Approach to Possibilistic Risk Aversion

Authors

Georgescu, Irina , Kinnunen, Jani , DalKwack, K , Kawata, S , Hwang, S , Han, D , Ko, F

External publication

No

Means

2012 7th International Conference On Computing And Convergence Technology (iccct2012)

Scope

Proceedings Paper

Nature

Científica

JCR Quartile

✗

SJR Quartile

✗

Publication date

01/01/2012

ISI

000324412800067

Abstract

This paper proposes an approach to possibilistic risk aversion by means of probabilistic concepts. A notion of probabilistic risk premium is defined as the probabilistic risk premia associated with the uniform distributions on the level sets of a fuzzy number. We prove an approximate computation formula for this indicator and a Pratt-type theorem to compare two agents' possibilistic risk aversions.

Keywords

Possibilistic risk aversion; Pratt theorem; probability theory