Multidimensional possibilistic risk aversion

DOI10.1016/J.MCM.2011.03.011MaRDI QIDQ646133zbMATH OpenOpenAlexFDO

Authors Irina Georgescu, Jani Kinnunen

Publication date 11 November 2011

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.mcm.2011.03.011

zbMATH Keywords

fuzzy numberrisk aversionrisk premiumpossibility theory

Mathematics Subject Classification ID

Decision theory (91B06) Fuzzy probability (60A86)

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Cites work

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• On weighted possibilistic mean and variance of fuzzy numbers
• Possibilistic moment generating functions
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• Risk Aversion in the Small and in the Large
• Some Stronger Measures of Risk Aversion in the Small and the Large with Applications
• Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing

Cited in

(13)

• Risk aversion for variational and multiple-prior preferences
• Possibilistic risk aversion
• Many good risks: An interpretation of multivariate risk and risk aversion without the independence axiom
• Corporate investment appraisal with possibilistic CAPM
• Generalized Expected Utility Analysis of Multivariate Risk Aversion
• Expected utility operators and coinsurance problem
• On risk aversion under fuzzy random data
• Local utility and multivariate risk aversion
• Multidimensional risk aversion: the cardinal sin
• A risk approach by credibility theory
• Mixed risk aversion
• Risk aversion, prudence and mixed optimal saving models
• A possibilistic approach to risk aversion

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