A possibilistic approach to risk aversion
- First Online:
- Cite this article as:
- Georgescu, I. Soft Comput (2010) 15: 795. doi:10.1007/s00500-010-0634-7
- 145 Downloads
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.