Expected utility inequalities: theory and applications (Q926238)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Expected utility inequalities: theory and applications |
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Expected utility inequalities: theory and applications (English)
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26 May 2008
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This paper derives upper bounds for probabilities of tails of the distribution of utility of risky prospects for a risk averse decision maker. The inequalities established relate the tail probabilities to the certainty equivalent of the prospect under mild assumptions on the shape of the distribution. Applications to different contexts are described.
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expected utility
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subjective beliefs
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value at risk
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option pricing
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credit risk
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