Soft Computing

, Volume 15, Issue 4, pp 795–801 | Cite as

A possibilistic approach to risk aversion

Original Paper

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 indicators Possibilistic risk premium Possibilistic Pratt theorem 

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Copyright information

© Springer-Verlag 2010

Authors and Affiliations

  1. 1.Department of Economic CyberneticsAcademy of Economic StudiesBucharestRomania

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