AMBIGUOUS RISK AVERSION UNDER CAPACITY

摘要

The aim of this paper is to propose a new measure approach of ambiguous risk aversion under some capacity μ (a non-additive measure), in particular, under the distorted probability. Firstly, by using the Choquet integral with respect to the capacity μ, we introduce the concept of ambiguous risk premium p~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.