On Utility Functions and Distorted Probability Risk Measures

摘要：

In the context of how to choose a distortion function to form a risk measure, we examine some relationship between utility functions and distortion functions by using an one-to-one correspondence between spectrum functions and concave distortion functions. Examples from utility functions with constant coefficient of absolute risk aversion and relative risk aversion are given.

关键词： utility functions distortion functions Choquet integral

作者: Rujira Ouncharoen Thongchai Dumrongpokaphan Somsak Chanaim

作者单位: Department of Mathematics, Faculty of Science Chiang Mai University, Chiang Mai 50200, Thailand and Centre of Excellence in Mathematics, CHE, Si Ayuttaya road, Bangkok 10400, Thailand

会议类型: 国际会议

会议名称: The 10th International Conference on Intelligent Technologies(第十届智慧科技国际会议 InTech09)

会议地点: 桂林

会议语种:英文

页码: 302-305

在线出版日期: 2009-12-12（万方平台首次上网日期，不代表论文的发表时间）