Extreme events and entropy: A multiple quantile utility model

Marcello Basili and Alain Chateauneuf

PSE-Ecole d'économie de Paris (Postprint) from HAL

Abstract: This paper introduces a multiple quantile utility model of Cumulative Prospect Theory in an ambiguous setting. We show a representation theorem in which a prospect is valued by a composite value function. The composite value function is able to represent asymmetric attitude on extreme events and a rational prudence on ordinary events.

Keywords: Ambiguity; Entropy; Extreme events; Multiple priors; Quantiles (search for similar items in EconPapers)
Date: 2011-11
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Published in International Journal of Approximate Reasoning, 2011, 52 (8), pp.1095-1102. ⟨10.1016/j.ijar.2011.05.005⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Extreme events and entropy: A multiple quantile utility model (2011)
Working Paper: Extreme events and entropy: A multiple quantile utility model (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:pseptp:hal-00685405

DOI: 10.1016/j.ijar.2011.05.005

Access Statistics for this paper

More papers in PSE-Ecole d'économie de Paris (Postprint) from HAL
Bibliographic data for series maintained by Caroline Bauer ().