DocumentCode
3515742
Title
Multidimensional risk aversion with mixed parameters
Author
Georgescu, Irina ; Kinnunen, Jani
Author_Institution
Dept. of Economic Cybern., Acad. of Economic Studies, Bucharest, Romania
fYear
2011
fDate
19-21 May 2011
Firstpage
63
Lastpage
68
Abstract
In this paper we propose an approach of risk aversion for the situations with many risk parameters. Some of the parameters are described probabilistically, and others possibilistically. We introduce mixed risk premium vector, a notion, which combines probabilistic and possibilistic aspects of risk aversion. The main result of the paper is a formula for the calculation of the mixed risk premium vector. Our model can be applied for the evaluation of risk aversion in grid computing.
Keywords
possibility theory; probability; risk management; vectors; mixed risk premium vector; multidimensional risk aversion; possibilistic aspect; probabilistic aspect; Equations; Grid computing; Mathematical model; Possibility theory; Probabilistic logic; Random variables; Uncertainty;
fLanguage
English
Publisher
ieee
Conference_Titel
Applied Computational Intelligence and Informatics (SACI), 2011 6th IEEE International Symposium on
Conference_Location
Timisoara
Print_ISBN
978-1-4244-9108-7
Type
conf
DOI
10.1109/SACI.2011.5872974
Filename
5872974
Link To Document