A Bayesian decision model based on expected utility and uncertainty risk

作者：Park Changsoon; Ahn Suneung; Lee Sangwon^*

来源：Applied Mathematics and Computation, 2014, 242: 643-648.

DOI：10.1016/j.amc.2014.06.005

• Decision analysis
• Expected utility
• Uncertainty
• Prior distribution

Risk is caused by the uncertainty of state of nature and a decision maker%26apos;s selection, and the result may appear to be an unfavorable outcome. Therefore, a decision maker wants to maximize an expected return with minimal risk exposures. In this paper, we propose an expected utility and uncertainty risk (EU-UR) model based on the reference prior, which extends the classical decision model under uncertainty. The EU-UR model is made by making a compromise between measures of expected utility and uncertainty. The model is empirically validated by applying to the Levy%26apos;s case and the Allais paradox.

• 出版日期2014-9-1