The interest rate for saving as a possibilistic risk

Irina Georgescu and Jani Kinnunen

Physica A: Statistical Mechanics and its Applications, 2020, vol. 547, issue C

Abstract: The paper is concerned with a saving model in which the interest rate risk is a fuzzy number. Our model can be seen as a possibilistic variant of a saving model due to Rothschild and Stiglitz, in which the interest rate risk is a random variable. A notion of possibilistic precautionary saving is defined as a measure of the optimal saving variation when moving from a certain model to the possibilistic interest rate risk model.

Keywords: Possibilistic models of saving; Possibilistic expected theory; Interest rate risk for saving; Possibilistic precautionary saving (search for similar items in EconPapers)
Date: 2020
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Working Paper: The interest rate for saving as a possibilistic risk (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:547:y:2020:i:c:s0378437120301953

DOI: 10.1016/j.physa.2020.124460

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