Uncertain risk aversion

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• 作者：Jian Zhou ; Yuanyuan Liu ; Xiaoxia Zhang ; Xin Gu…
• 关键词：Uncertainty theory ; Risk aversion ; Risk premium ; Pratt’s theorem
• 刊名：Journal of Intelligent Manufacturing
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：28
• 期：3
• 页码：615-624
• 全文大小：
• 刊物类别：Business and Economics
• 刊物主题：Production; Manufacturing, Machines, Tools; Control, Robotics, Mechatronics;
• 出版者：Springer US
• ISSN：1572-8145
• 卷排序：28

文摘

This paper discusses the risk aversion within the framework of the uncertainty theory (Liu in Uncertainty theory: A branch of mathematics for modeling human uncertainty. Springer, Berlin, 2010b), and introduces the notions of uncertain expected utility and uncertain risk premium. In terms of the Arrow–Pratt index, an uncertain version of Pratt’s theorem is proved, which offers an effective way to make comparisons between different individuals’ risk-averse attitudes. We suggest that uncertain risk aversion can be used to measure human’s risk-averse attitudes when uncertainty exists due to lack of the observed data, just as probabilistic risk aversion when sufficient data can be obtained. Uncertain risk aversion provides an alternative method to compare the risk aversions between individuals under uncertain situations.