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On risk aversion under fuzzy random data
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DOI：10.1016/j.fss.2016.10.014.png)
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Abstract
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In this paper, we generalize classical results on risk aversion by analyzing the case, when the available data about cash flows are fuzzy numbers, random fuzzy numbers, type-2 fuzzy sets, random type-2 fuzzy sets, etc. We prove that the Arrow-Pratt measures are also risk aversion measures when an agent measures her risk using the Jensen-type operators. We also provide numerous examples of the Jensen-type operators. (C) 2016 Elsevier B.V. All rights reserved.
Keywords:
Risk aversion
Measures of risk aversion
Fuzzy sets
Random fuzzy sets
Type-2 fuzzy data
Jensen-type operator
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