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- Title
Expected utility operators and possibilistic risk aversion.
- Authors
Georgescu, Irina
- 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.
- Subjects
EXPECTED utility; RISK aversion; FUZZY numbers; RISK premiums; DECISION making
- Publication
Soft Computing - A Fusion of Foundations, Methodologies & Applications, 2012, Vol 16, Issue 10, p1671
- ISSN
1432-7643
- Publication type
Article
- DOI
10.1007/s00500-012-0851-3