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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.
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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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