Title :
Multidimensional risk aversion with mixed parameters
Author :
Georgescu, Irina ; Kinnunen, Jani
Author_Institution :
Dept. of Economic Cybern., Acad. of Economic Studies, Bucharest, Romania
Abstract :
In this paper we propose an approach of risk aversion for the situations with many risk parameters. Some of the parameters are described probabilistically, and others possibilistically. We introduce mixed risk premium vector, a notion, which combines probabilistic and possibilistic aspects of risk aversion. The main result of the paper is a formula for the calculation of the mixed risk premium vector. Our model can be applied for the evaluation of risk aversion in grid computing.
Keywords :
possibility theory; probability; risk management; vectors; mixed risk premium vector; multidimensional risk aversion; possibilistic aspect; probabilistic aspect; Equations; Grid computing; Mathematical model; Possibility theory; Probabilistic logic; Random variables; Uncertainty;
Conference_Titel :
Applied Computational Intelligence and Informatics (SACI), 2011 6th IEEE International Symposium on
Conference_Location :
Timisoara
Print_ISBN :
978-1-4244-9108-7
DOI :
10.1109/SACI.2011.5872974
