scholarly journals A Multiclass Cumulative Prospect Theory-Based Stochastic User Equilibrium Model with Path Constraints in Degradable Transport Networks

2021 ◽  
Vol 33 (5) ◽  
pp. 775-787
Author(s):  
Dongmei Yan ◽  
Jianhua Guo
Keyword(s):  
Prospect Theory ◽  
Expected Utility Theory ◽  
User Equilibrium ◽  
Cumulative Prospect Theory ◽  
Stochastic User Equilibrium ◽  
Multiple User ◽  
Range Anxiety ◽  
Method Of Successive Averages ◽  
Stochastic Travel Times ◽  
Distance Limit

The limited driving range and the unavailability or insufficiency of battery charging/swapping stations cause the so-called range anxiety issue for traffic assignment involving battery electric vehicle (BEV) users. In addition, expected utility theory-based stochastic user equilibrium (EUT-SUE) model generates the perfectly rational issue when the travellers make route choice decisions. To tackle these two problems, this article improves the cumulative prospect theory-based stochastic user equilibrium (CPT-SUE) model in a degradable transport network through incorporating the constraints of multiple user classes and distance limit. In this degradable network, the travellers experience stochastic travel times due to network link capacity degradations. For this improved CPT-SUE model, the equivalent variational inequality (VI) model and associated method of successive averages (MSA) based solution are provided. The improved CPT-SUE model is tested and compared with the EUT-SUE model with distance limit, with results showing that the improved CPT-SUE model can handle jointly the range anxiety issue and the perfectly rational issue.

scholarly journals A Stochastic User Equilibrium Formulation for the Cumulative Prospect Theory-Based Cross-Nested Logit

2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Dongmei Yan ◽  
Yang Yang
Keyword(s):  
Prospect Theory ◽  
User Equilibrium ◽  
Cumulative Prospect Theory ◽  
Model Parameters ◽  
Nested Logit ◽  
Stochastic User Equilibrium ◽  
Weighted Averages ◽  
Route Choice Behavior ◽  
Method Of Successive Averages ◽  
The Impact

The cumulative prospect theory provides a better description for route choice behavior of the travelers in an uncertain road network environment. In this study, we proposed a multiclass cumulative prospect value- (CPV-) based cross-nested logit (CNL) stochastic user equilibrium (SUE) model. For this model, an equivalent variational inequality (VI) model is provided, and the existence and equivalence of the model solutions are also proved. The method of successive averages (MSA), method of successive weighted averages (MSWA), and self-regulated averaging (SRA) method are designed and compared. In addition, the proposed multiclass CPV-based CNL SUE model is also compared with the multiclass utility value- (UV-) based CNL SUE model. The results show that the path flow assigned by the multiclass CPV-based CNL SUE model is more consistent with the actual situation. The impact of different model parameters on the cumulative prospect value (CPV) is investigated.

scholarly journals Cumulative Prospect Theory Version with Fuzzy Values of Outcome Estimates

Risks ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 72
Author(s):  
Oleg Uzhga-Rebrov ◽  
Peter Grabusts
Keyword(s):  
Prospect Theory ◽  
Expected Utility ◽  
Utility Theory ◽  
Expected Utility Theory ◽  
Cumulative Prospect Theory ◽  
Development History ◽  
Decisions Under Risk ◽  
History Of ◽  
Main Factors ◽  
Theoretical Foundations

Choosing solutions under risk and uncertainty requires the consideration of several factors. One of the main factors in choosing a solution is modeling the decision maker’s attitude to risk. The expected utility theory was the first approach that allowed to correctly model various nuances of the attitude to risk. Further research in this area has led to the emergence of even more effective approaches to solving this problem. Currently, the most developed theory of choice with respect to decisions under risk conditions is the cumulative prospect theory. This paper presents the development history of various extensions of the original expected utility theory, and the analysis of the main properties of the cumulative prospect theory. The main result of this work is a fuzzy version of the prospect theory, which allows handling fuzzy values of the decisions (prospects). The paper presents the theoretical foundations of the proposed version, an illustrative practical example, and conclusions based on the results obtained.

Utility-Consistent Valuation Schemes for the Own Risk and Solvency Assessment of Life Insurance Companies

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Olivier Le Courtois ◽  
Mohamed Majri ◽  
Li Shen
Keyword(s):  
Risk Aversion ◽  
Prospect Theory ◽  
Life Insurance ◽  
Absolute Risk ◽  
Expected Utility Theory ◽  
Cumulative Prospect Theory ◽  
Model Complexity ◽  
Insurance Companies ◽  
A Value ◽  
Solvency Assessment

AbstractIn this paper, we construct new valuation schemes for the liabilities and economic capital of insurance companies. Specifically, we first build a ‘SAHARA’ valuation framework based on Symmetric Asymptotic Hyperbolic Absolute Risk Aversion utility functions. Then, we construct a ‘SAHARA-CPT’ framework that incorporates the previous utility function as a value function and that is based on Cumulative Prospect Theory. The process used for assessing a life insurance company’s own funds consists in replacing the market-consistent parametrization with a utility-consistent parametrization that accounts for the risk aversion of the market and the long-term duration of the company’s commitments. Our illustrations show that this approach leads to a lower value of the Own Risk and Solvency Assessment and to a lower volatility of own funds. The framework that is based on cumulative prospect theory has the advantage over the expected utility theory framework that it considers a precautionary overweighting of extreme events, as a tradeoff for additional model complexity.

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