Soft Computing

, Volume 15, Issue 4, pp 795–801

A possibilistic approach to risk aversion

Authors

    • Department of Economic CyberneticsAcademy of Economic Studies
Original Paper

DOI: 10.1007/s00500-010-0634-7

Cite this article as:
Georgescu, I. Soft Comput (2010) 15: 795. doi:10.1007/s00500-010-0634-7

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.

Keywords

Possibilistic indicatorsPossibilistic risk premiumPossibilistic Pratt theorem

Copyright information

© Springer-Verlag 2010