A risk approach by credibility theory |
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Authors: | Irina Georgescu Jani Kinnunen |
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Institution: | 1. Department of Economic Cybernetics Piata, Academy of Economic Studies, Romana No 6 R 70167, Oficiul Postal 22, Bucharest, Romania 2. Institute for Advanced Management Systems Research, Abo Akademi University, Jouhakaisenkatu 3-5 B 6th floor, 20520, Turku, Finland
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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. |
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