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A possibilistic approach to risk aversion

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Abstract

In this paper a possibilistic model of risk aversion based on the lower and upper possibilistic expected values of a fuzzy number is studied. Three notions of possibilistic risk premium are defined for which calculation formulae in terms of Arrow–Pratt index and a possibilistic variance are established. A possibilistic version of Pratt theorem is proved.

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Authors and Affiliations

  1. Department of Economic Cybernetics, Academy of Economic Studies, P. O. Box 15-432, Piaţa Romana No 6 R 70167, Oficiul Postal 22, 014700, Bucharest, Romania

    Irina Georgescu

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  1. Irina Georgescu
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Correspondence to Irina Georgescu.

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Georgescu, I. A possibilistic approach to risk aversion. Soft Comput 15, 795–801 (2010). https://doi.org/10.1007/s00500-010-0634-7

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  • DOI: https://doi.org/10.1007/s00500-010-0634-7

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