A possibilistic approach to risk aversion
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 ArrowPratt index and a possibilistic variance are established. A possibilistic version of Pratt theorem is proved.
possibilistic risk premium possibilistic indicators possibilistic pratt theorem