Aggregation of not independent experts' opinions under ambiguity

作者：Basili Marcello^*; Pratelli Luca

来源：Structural Safety, 2015, 52: 144-149.

DOI：10.1016/j.strusafe.2014.04.001

• Ambiguity
• Aggregation
• Entropy
• Multiple priors
• Quantiles

We consider an aggregation scheme of opinions expressed through different probability distributions or multiple priors decision model. The decision-maker adopts entropy maximization as a measure of risk diversification and a rational form of prudence for valuing uncertain outcomes. We show a new aggregation rule based,on the composite value function that is able to represent asymmetric attitude on extreme events (optimism with respect to windfall gains and pessimism with respect to catastrophic events) and a rational prudence on ordinary events. We define when the new rule preserves stochastic dominance.

• 出版日期2015
• 单位中国人民解放军海军大连舰艇学院