Ambiguous risk aversion under capacity

DOI10.1142/S0218488512400077MaRDI QIDQ4648666zbMATH OpenOpenAlexFDO

Authors Hongxia Wang, Shoumei Li

Publication date 15 November 2012

Published in International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0218488512400077

zbMATH Keywords

ambiguous risk aversionambiguous risk premiumcapacitydistorted probabilitydistortion function

Mathematics Subject Classification ID

Fuzzy measure theory (28E10)

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• Choquet expected utility with affine capacities
• Distortion risk measures, ambiguity aversion and optimal effort
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Cites work

• Axiomatic characterization of insurance prices
• scientific article; zbMATH DE number 3342731 (Why is no real title available?)
• scientific article; zbMATH DE number 3084669 (Why is no real title available?)
• Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
• Risk Aversion in the Small and in the Large
• Risk, ambiguity and the Savage axioms
• SET DEFUZZIFICATION AND CHOQUET INTEGRAL
• Subjective Probability and Expected Utility without Additivity
• The Dual Theory of Choice under Risk
• Theory of capacities

Cited in

(7)

• Asymmetric Choquet random walks and ambiguity aversion or seeking
• Propensity for hedging and ambiguity aversion
• Sub-concave and sub-convex capacities
• Conditional Choquet expectation
• Distortion risk measures, ambiguity aversion and optimal effort
• Risk, ambiguity, and state-preference theory
• Exact capacities and star-shaped distorted probabilities

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