Certainty equivalents and information measures: Duality and extremal principles (Q1177028)

The authors compare different approaches of ranking random variables by a real parameter. Three are lent from decision theory under risk: expected utility, recourse certainty equivalent, and Yaari's certainty equivalent. The fourth is from information theory, Csiszár's \(\phi\)-divergence between probability distributions. Properties of \(\phi\)-divergence are presented in detail, and its relations to the remaining parameters are derived. These relations provide a duality framework which has interpretations in the theory of economics of risk.