The interest rate for saving as a possibilistic risk

• Tác giả: Irina Georgescu, Jani Kinnunen
• Ngôn ngữ: eng
• Ký hiệu phân loại: 339.43 Savings and investment
• Thông tin xuất bản: 2019
• Bộ sưu tập: Metadata
• ID: 163166

Tóm tắt

In the paper there is studied an optimal saving model in which the interest-rate risk for saving is a fuzzy number. The total utility of consumption is defined by using a concept of possibilistic expected utility. A notion of possibilistic precautionary saving is introduced as a measure of the variation of optimal saving level when moving from a sure saving model to a possibilistic risk model. A first result establishes a necessary and sufficient condition that the presence of a possibilistic interest-rate risk generates an extra-saving. This result can be seen as a possibilistic version of a Rothschilld and Stiglitz theorem on a probabilistic model of saving. A second result of the paper studies the variation of the optimal saving level when moving from a probabilistic model (the interest-rate risk is a random variable) to a possibilistic model (the interest-rate risk is a fuzzy number).