A risk approach by credibility theory

Irina Georgescu and Jani Kinnunen ()
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Jani Kinnunen: Abo Akademi University

Fuzzy Information and Engineering, 2013, vol. 5, issue 4, 399-416

Abstract: Abstract This paper attempts to treat some topics of risk theory by means of credibility theory. We study the risk aversion of an agent faced with a situation of uncertainty represented by a discrete fuzzy variable, the relationship between stochastic dominance and credibilistic dominance, and an index of riskiness of discrete credibilistic gambles. In the framework of an optimal saving credibilistic model, the way the presence of risk modifies the level of optimal saving is studied. The main tool of our investigation is an operator defined by B. Liu and Y. K. Liu by which to a discrete fuzzy variable one associates a discrete random variable with the same expected value as the former.

Keywords: Credibility theory; Possibility theory; Credibilistic risk aversion; Credibilistic risk premium; Credibilistic dominance; Credibilistic index of riskiness (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s12543-013-0154-0

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