AHP for Risk Management Based on Expected Utility Theory

Abstract

This paper presents a model of decision-making considering the risk assessment. The conventional evaluation in AHP is considered to be a kind of utility. When dealing with the risk, however, it is necessary to consider the probability of damage. In order to take risk into decision-making problem, we construct AHP based on expected utility. The risk is considered as a related element of criterion rather than criterion itself. The expected utility is integrated, considering that satisfaction is positive utility and damage by risk is negative utility. Then, evaluation in AHP is executed using the expected utility.