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Applied Computational Intelligence in Engineering and Information Technology pp 39–50Cite as

Mixed Multidimensional Risk Aversion

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Part of the book series: Topics in Intelligent Engineering and Informatics ((TIEI,volume 1))

Abstract

The topic treated in this chapter is the risk aversion of an agent in front of a situation of uncertainty with many risk parameters. We will study a general model of risk aversion in which some parameters are probabilistically described (by random variables) and others are possibilistically described (by fuzzy numbers). For the construction of this model, firstly, mixed expected utility, a notion, which unifies probabilistic and possibilistic aspects of expected utility theory is introduced. The notion of mixed risk premium vector is introduced as a measure of risk aversion with mixed parameters. The main result of the chapter is an approximate calculation formula for mixed risk premium vector. Lastly, our model is applied in the evaluation of risk aversion in grid computing.

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References

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Author information

Authors and Affiliations

  1. Department of Economic Cybernetics, Academy of Economic Studies, Calea Dorobantilor 15-17, Sector 1, Bucharest, Romania

    Irina Georgescu

  2. Institute for Advanced Management Systems Research, Åbo Akademi University, Jouhakaisenkatu 3-5A, 20520, Turku, Finland

    Jani Kinnunen

Authors
  1. Irina Georgescu
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  2. Jani Kinnunen
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Corresponding author

Correspondence to Irina Georgescu .

Editor information

Editors and Affiliations

  1. , Faculty of Automation and Computers, “Politehnica” University of Timisoara, Bd. V. Parvan 2, Timisoara, 300223, Romania

    Radu-Emil Precup

  2. , Department of Information Technology, University of Miskolc, Miskolc, 3515, Hungary

    Szilveszter Kovács

  3. , Faculty of Automation and Computers, “Politehnica” University of Timisoara, Bd. V. Parvan 2, Timisoara, 300223, Romania

    Stefan Preitl

  4. , School of Information Technology and, University of Ottawa, King Edward 800, Ottawa, K1N 6N5, Canada

    Emil M. Petriu

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© 2012 Springer-Verlag GmbH Berlin Heidelberg

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Georgescu, I., Kinnunen, J. (2012). Mixed Multidimensional Risk Aversion. In: Precup, RE., Kovács, S., Preitl, S., Petriu, E. (eds) Applied Computational Intelligence in Engineering and Information Technology. Topics in Intelligent Engineering and Informatics, vol 1. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-28305-5_3

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  • DOI: https://doi.org/10.1007/978-3-642-28305-5_3

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-28304-8

  • Online ISBN: 978-3-642-28305-5

  • eBook Packages: EngineeringEngineering (R0)

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