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
Version
  • 1
Volume
  • 52