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摘要
The aim of this paper is to propose a new measure approach of ambiguous risk aversion under some capacity mu (a non-additive measure), in particular, under the distorted probability. Firstly, by using the Choquet integral with respect to the capacity mu, we introduce the concept of ambiguous risk premium rho(u)(X) of a risk asset X for risk aversive individuals whose utility function is u, and we investigate some properties of the ambiguous risk premium under some assumptions. Then to illustrate our theoretical results, we give an example and empirical results.
- 出版日期2012-6
- 单位北京工业大学
