Multidimensional risk aversion with mixed parameters

Abstract

In this paper we propose an approach of risk aversion for the situations with many risk parameters. Some of the parameters are described probabilistically, and others possibilistically. We introduce mixed risk premium vector, a notion, which combines probabilistic and possibilistic aspects of risk aversion. The main result of the paper is a formula for the calculation of the mixed risk premium vector. Our model can be applied for the evaluation of risk aversion in grid computing.