排序方式: 共有5条查询结果,搜索用时 15 毫秒
1
1.
We introduce two extreme methods to pairwisely compare ordered lists of the same length, viz. the comonotonic and the countermonotonic
comparison method, and show that these methods are, respectively, related to the copula T
M
(the minimum operator) and the Ł ukasiewicz copula T
L
used to join marginal cumulative distribution functions into bivariate cumulative distribution functions. Given a collection
of ordered lists of the same length, we generate by means of T
M
and T
L
two probabilistic relations Q
M
and Q
L
and identify their type of transitivity. Finally, it is shown that any probabilistic relation with rational elements on a
3-dimensional space of alternatives which possesses one of these types of transitivity, can be generated by three ordered
lists and at least one of the two extreme comparison methods. 相似文献
2.
经典的风险模型是描述单一险种的风险过程,随着保险公司业务规模的不断扩大,讨论多险种风险过程的破产问题显得越来越必要了。本文研究了两类相关的双变量Poisson风险模型的破产概率问题,并得到了它的破产概率计算公式。 相似文献
3.
4.
A behavioral condition of loss aversion is proposed and tested. Forty-nine students participated in experiments on binary
choices among lotteries involving small scale real gains and losses. At the aggregate level, a significant proportion of the
choices are in the direction predicted by loss aversion. Individuals can be classified as loss averse (28 participants), gain
seeking (12), and unclassified (9). A comparison with risk behavior for binary choices on lotteries involving only gains shows
that risk attitudes vary across these domains of lotteries. A gender effect is also observed: proportionally more women are
loss averse. In contrast to the predictions of comonotonic independence, the size of common outcomes has systematic influence
on choice behavior.
JEL Classification: D81, C91 相似文献
5.
Peter P. Wakker 《Econometrica : journal of the Econometric Society》2001,69(4):1039-1059
In expected utility theory, risk attitudes are modeled entirely in terms of utility. In the rank‐dependent theories, a new dimension is added: chance attitude, modeled in terms of nonadditive measures or nonlinear probability transformations that are independent of utility. Most empirical studies of chance attitude assume probabilities given and adopt parametric fitting for estimating the probability transformation. Only a few qualitative conditions have been proposed or tested as yet, usually quasi‐concavity or quasi‐convexity in the case of given probabilities. This paper presents a general method of studying qualitative properties of chance attitude such as optimism, pessimism, and the “inverse‐S shape” pattern, both for risk and for uncertainty. These qualitative properties can be characterized by permitting appropriate, relatively simple, violations of the sure‐thing principle. In particular, this paper solves a hitherto open problem: the preference axiomatization of convex (“pessimistic” or “uncertainty averse”) nonadditive measures under uncertainty. The axioms of this paper preserve the central feature of rank‐dependent theories, i.e. the separation of chance attitude and utility. 相似文献
1