Pareto utility
Pareto utility
复制标题
帕累托效用
DOI：
10.1007/s11238-012-9293-8
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发表时间：
2013
影响因子：
0.8
通讯作者：
Chris Muris
中科院分区：
文献类型：
--
作者：
Masako Ikefuji;R. Laeven;J. Magnus;Chris Muris
在期望效用框架中寻找合适的效用函数时，我们制定了我们希望效用函数满足的四个属性。我们对这样的函数进行搜索，并将帕累托效用确定为满足所有四个所需属性的函数。帕累托实用程序是一个灵活、简单和吝啬的双参数族。它表现为绝对风险厌恶减少，相对风险厌恶增加但有限度。它适用于与待评价前景有关的概率分布。因此，帕累托效用特别适用于灾难性风险分析。研究了一类新的相关的广义指数效用函数（gexpo）。当绝对风险承受能力被认为是凹形的而不是线性的情况下，这一类特别相关。
In searching for an appropriate utility function in the expected utility framework, we formulate four properties that we want the utility function to satisfy. We conduct a search for such a function, and we identify Pareto utility as a function satisfying all four desired properties. Pareto utility is a flexible yet simple and parsimonious two-parameter family. It exhibits decreasing absolute risk aversion and increasing but bounded relative risk aversion. It is applicable irrespective of the probability distribution relevant to the prospect to be evaluated. Pareto utility is therefore particularly suited for catastrophic risk analysis. A new and related class of generalized exponential (gexpo) utility functions is also studied. This class is particularly relevant in situations where absolute risk tolerance is thought to be concave rather than linear.