Extreme events and entropy: A multiple quantile utility model
Journal article: 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.
Author(s)
Marcello Basili, Alain Chateauneuf
Journal
- International Journal of Approximate Reasoning
Date of publication
- 2011
Keywords
- Ambiguity
- Entropy
- Extreme events
- Multiple priors
- Quantiles
Pages
- 1095-1102
URL of the HAL notice
Version
- 1
Volume
- 52