Title :
A probabilistic approach to possibilistic risk aversion
Author :
Georgescu, Ion ; Kinnunen, J.
Author_Institution :
Dept. of Econ. Cybern., Acad. of Econ. Studies, Bucharest, Romania
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 :
fuzzy set theory; number theory; possibility theory; risk analysis; statistical distributions; utility theory; Pratt-type theorem; approximate computation formula; fuzzy number; level sets; possibilistic risk aversion; probabilistic risk premium; uniform distributions; Possibilistic risk aversion; Pratt theorem; probability theory;
Conference_Titel :
Computing and Convergence Technology (ICCCT), 2012 7th International Conference on
Conference_Location :
Seoul
Print_ISBN :
978-1-4673-0894-6