Expected utility operators and possibilistic risk aversion.

*(English)*Zbl 1269.91031Summary: In this paper expected utility operators are introduced as an abstractization of some notions of possibilistic expected utility, already existing in the literature. A general theory of possibilistic risk aversion which encompasses the already existing treatments is developed. The possibilistic risk premium associated with a fuzzy number, a utility function, an expected utility operator and a weighting function is defined. An approximate calculation formula of possibilistic risk premium expressed in terms of Arrow-Pratt index and a possibilistic variance associated with an expected utility operator is obtained. In an abstract context a Pratt-type theorem is proved.

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\textit{I. Georgescu}, Soft Comput. 16, No. 10, 1671--1680 (2012; Zbl 1269.91031)

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