Extreme events and entropy: A multiple quantile utility model
Article dans une revue: 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.
Auteur(s)
Marcello Basili, Alain Chateauneuf
Revue
- International Journal of Approximate Reasoning
Date de publication
- 2011
Mots-clés
- Ambiguity
- Entropy
- Extreme events
- Multiple priors
- Quantiles
Pages
- 1095-1102
URL de la notice HAL
Version
- 1
Volume
- 52