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Author:

Wang, Hongxia (Wang, Hongxia.) | Li, Shoumei (Li, Shoumei.) (Scholars:李寿梅) | Yan, Fengling (Yan, Fengling.)

Indexed by:

CPCI-S

Abstract:

The aim of this paper is to propose an approach of measurement of the uncertainty aversion under the distorted probability. The main notion studied in this paper is the uncertainty premium associated with a distortion function g and a utility function u. Under some assumptions, we investigate the properties of uncertainty premium in term of the utility function u, some indicators under distorted probability and the distortion function g.

Keyword:

Distortion Function Uncertainty Premium Distorted Probability Uncertainty Aversion

Author Community:

  • [ 1 ] [Wang, Hongxia]Beijing Univ Technol, Dept Appl Math, Beijing 100124, Peoples R China
  • [ 2 ] [Li, Shoumei]Beijing Univ Technol, Dept Appl Math, Beijing 100124, Peoples R China
  • [ 3 ] [Yan, Fengling]Beijing Univ Technol, Dept Appl Math, Beijing 100124, Peoples R China

Reprint Author's Address:

  • [Wang, Hongxia]Beijing Univ Technol, Dept Appl Math, Beijing 100124, Peoples R China

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Source :

COMPUTATIONAL INTELLIGENCE: FOUNDATIONS AND APPLICATIONS: PROCEEDINGS OF THE 9TH INTERNATIONAL FLINS CONFERENCE

Year: 2010

Volume: 4

Page: 887-892

Language: English

Cited Count:

WoS CC Cited Count: 0

SCOPUS Cited Count:

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 10

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