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Possibilistic risk aversion. (English) Zbl 1186.91120
Summary: Risk theory is usually developed within probability theory. The aim of this paper is to propose an approach of the risk aversion by possibility theory, initiated by Zadeh in 1978. The main notion studied in this paper is the possibilistic risk premium associated with a fuzzy number \(A\) and a utility function \(u\). Under the hypothesis that the utility function \(u\) verifies certain hypotheses, one proves a formula to evaluate the possibilistic risk premium in terms of \(u\) and of some possibilistic indicators.

MSC:
91B30 Risk theory, insurance (MSC2010)
60A86 Fuzzy probability
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