An application of copulas to accident precursor analysis
Management Science
Correlations and Copulas for Decision and Risk Analysis
Management Science
A characterization of quasi-copulas
Journal of Multivariate Analysis
Characterization of dependence of multidimensional Lévy processes using Lévy copulas
Journal of Multivariate Analysis
An Introduction to Copulas (Springer Series in Statistics)
An Introduction to Copulas (Springer Series in Statistics)
Decision Analysis
Generalized Diagonal Band Copulas with Two-Sided Generating Densities
Decision Analysis
One-Switch Independence for Multiattribute Utility Functions
Operations Research
The Multiattribute Utility Tree
Decision Analysis
METHODS---One-Switch Conditions for Multiattribute Utility Functions
Operations Research
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We introduce the notion of a multiattribute utility copula that expresses any (i) continuous; (ii) bounded multiattribute utility function that is (iii) nondecreasing with each of its arguments, and (iv) strictly increasing with each argument for at least one reference value of the complement attributes, in terms of single-attribute utility assessments. This formulation provides a wealth of new functional forms that can be used to model preferences over utility-dependent attributes and enables sensitivity analyses to some of the widely used functional forms of utility independence. We introduce a class of utility copulas, called Archimedean utility copulas, and discuss the conditions under which it yields the additive and multiplicative forms. We also discuss linear and composite transformations of utility copulas that construct utility functions with partial utility independence. We conclude with the risk aversion functions that are induced by utility copula formulations and work through several examples to illustrate the approach.