Certainty equivalents and information measures: Duality and extremal principles (Q1177028)
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English | Certainty equivalents and information measures: Duality and extremal principles |
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Certainty equivalents and information measures: Duality and extremal principles (English)
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25 June 1992
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The authors compare different approaches of ranking random variables by a real parameter. Three are lent from decision theory under risk: expected utility, recourse certainty equivalent, and Yaari's certainty equivalent. The fourth is from information theory, Csiszár's \(\phi\)-divergence between probability distributions. Properties of \(\phi\)-divergence are presented in detail, and its relations to the remaining parameters are derived. These relations provide a duality framework which has interpretations in the theory of economics of risk.
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ranking random variables
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decision theory under risk
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expected utility
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recourse certainty equivalent
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Yaari's certainty equivalent
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Csiszár's \(\phi\)-divergence between probability
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distributions
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economics of risk
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