Multidimensional possibilistic risk aversion

Authors:
Irina Georgescu;Jani Kinnunen
Affiliations:
Academy of Economic Studies, Department of Economic Cybernetics, Piaa Romana No 6 R 70167, Oficiul Postal 22, Bucharest, Romania;Institute for Advanced Management Systems Research, bo Akademi University, Joukahaisenkatu 3-5 A 4th floor, 20520, Turku, Finland
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
2011

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Abstract

This paper deals with the analysis of risk aversion of an agent faced with a situation of uncertainty with several risk parameters. These risk parameters are represented by fuzzy numbers and the attitude of the agent to the risk situation by a multidimensional utility function. Risk aversion is measured by the notion of generalized possibilistic risk premium. The main result of the paper is an approximate calculation formula of generalized possibilistic risk premium in terms of the utility function and of possibilistic indicators (mean value and covariance).