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Risk aversion, prudence and mixed optimal saving models. (English) Zbl 1308.91082
The author considers risk aversion and prudence of an agent in a risk model with two parameters: one described by a fuzzy number and the other described by a random variable. A characterization of risk aversion and prudence is presented in mixed models by conditions on the concavity and the convexity of the agent’s utility function and its partial derivatives. Also, mixed models of optimal saving are built and their connection with the concept of prudence and downside risk aversion are provided.

MSC:
91B30 Risk theory, insurance (MSC2010)
91B99 Mathematical economics
03E72 Theory of fuzzy sets, etc.
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