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A possibilistic approach to risk aversion. (English) Zbl 1243.91026
Summary: In this paper a possibilistic model of risk aversion based on the lower and upper possibilistic expected values of a fuzzy number is studied. Three notions of possibilistic risk premium are defined for which calculation formulae in terms of Arrow-Pratt index and a possibilistic variance are established. A possibilistic version of Pratt theorem is proved.

91B06 Decision theory
03E72 Theory of fuzzy sets, etc.
Full Text: DOI
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