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The interest rate for saving as a possibilistic risk

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  • Georgescu, Irina
  • Kinnunen, Jani

Abstract

The paper is concerned with a saving model in which the interest rate risk is a fuzzy number. Our model can be seen as a possibilistic variant of a saving model due to Rothschild and Stiglitz, in which the interest rate risk is a random variable. A notion of possibilistic precautionary saving is defined as a measure of the optimal saving variation when moving from a certain model to the possibilistic interest rate risk model.

Suggested Citation

  • Georgescu, Irina & Kinnunen, Jani, 2020. "The interest rate for saving as a possibilistic risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 547(C).
    • Handle: RePEc:eee:phsmap:v:547:y:2020:i:c:s0378437120301953
    DOI: 10.1016/j.physa.2020.124460
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    References listed on IDEAS

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    1. Donatella Baiardi & Marco Magnani & Mario Menegatti, 2014. "Precautionary saving under many risks," Journal of Economics, Springer, vol. 113(3), pages 211-228, November.
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    6. Jingyuan Li, 2012. "Precautionary saving in the presence of labor income and interest rate risks," Journal of Economics, Springer, vol. 106(3), pages 251-266, July.
    7. Irina Georgescu & Jani Kinnunen, 2016. "Mixed Models For Risk Aversion, Optimal Saving, And Prudence," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 21(2), pages 47-70, November.
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    14. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
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    17. Georgescu, Irina, 2008. "Possibilistic Risk Aversion," Working Papers 476, IAMSR, Åbo Akademi.
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