Extreme events and entropy: A multiple quantile utility model - Archive ouverte HAL
Article Dans Une Revue International Journal of Approximate Reasoning Année : 2011

Extreme events and entropy: A multiple quantile utility model

Résumé

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.

Dates et versions

hal-00685405 , version 1 (05-04-2012)

Identifiants

Citer

Marcello Basili, Alain Chateauneuf. Extreme events and entropy: A multiple quantile utility model. International Journal of Approximate Reasoning, 2011, 52 (8), pp.1095-1102. ⟨10.1016/j.ijar.2011.05.005⟩. ⟨hal-00685405⟩
119 Consultations
0 Téléchargements

Altmetric

Partager

More