Additive Consistency of Risk Measures and Its Application to Risk-Averse Routing in Networks

• 成果类型: Article
• 署名作者: Cominetti, Roberto; Torrico, Alfredo
• 署名单位: Universidad de Chile; Universidad de Chile
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2016.0787
• 发表日期: 2016
• 页码: 1510-1521
• 关键词: stochastic-dominance; expected utility; DECISION; BEHAVIOR; models; CHOICE

摘要

We investigate the use of risk measures and theories of choice to model risk-averse routing and traffic equilibrium on networks with random travel times. We interpret the postulates of these theories in the context of routing, identifying additive consistency as a plausible condition that allows to reduce risk-averse route choice to a standard shortest path problem. Within the classical theories of choice, we show that the only preferences that satisfy this condition are the ones induced by the entropic risk measures.