Title :
Multidimensional possibilistic risk aversion
Author :
Georgescu, Irina ; Kinnunen, Jani
Author_Institution :
Dept. of Economic Cybern., Acad. of Economic Studies, Bucharest, Romania
Abstract :
In this paper the notion of generalized possibilistic risk premium is introduced as a measure of the risk aversion of an agent faced with several components of possibilistic risk. The main result of the paper is a formula for the calculation of the generalized possibilistic risk premium expressed in terms of a utility function and of some possibilistic indicators.
Keywords :
possibility theory; risk analysis; utility theory; generalized possibilistic risk premium; multidimensional possibilistic risk aversion; possibilistic indicators; utility function; Biological system modeling; Mathematical model; Nickel; Possibility theory; Probabilistic logic; Random variables; Uncertainty;
Conference_Titel :
Computational Intelligence and Informatics (CINTI), 2010 11th International Symposium on
Conference_Location :
Budapest
Print_ISBN :
978-1-4244-9279-4
Electronic_ISBN :
978-1-4244-9280-0
DOI :
10.1109/CINTI.2010.5672253
