Chance constrained DEA model considering decision maker’s risk appetite
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    Abstract:

    A chance constrained DEA model breaks the rigid restraints of inputs and outputs on DMUs,allowing some DMUs to exceed the production frontier on the assumption of certain probability of stochastic variables ( usually a sufficiently small confidence level) . Decision makers have different risk appetites towards different DMUs or inputs ( outputs) ,so the efficiency evaluation model considering decision maker’s risk appetite will be more applicable in reality. Based on a Chance constrained DEA model,this paper analyses the relationship between the perceived risk of decision makers and the measurable systematic risk,through which the chance constrained DEA model with decision maker’s risk appetite is constructed and the definitions of chance constrained DEA efficiency with decision maker’s appetite are defined. The numerical analysis not only proves the validity and feasibility of our model,but also reveals the relationship between the efficiencies calculated respectively by our model and the standard CCR model.

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  • Online: April 16,2018
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