The representations of two types of functionals on \(L^\infty(\Omega,\mathcal F)\) and \(L^\infty(\Omega,\mathcal F,\mathbb P)\)

DOI10.1007/s11425-006-2010-8zbMath1177.46020OpenAlexW1932293874MaRDI QIDQ867789

Yongsheng Song, Jia'an Yan

Publication date: 16 February 2007

Published in: Science in China. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-006-2010-8

zbMATH Keywords

Choquet integralcomonotonically convexcomonotonically subadditive

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Contents, measures, outer measures, capacities (28A12) Applications of functional analysis in probability theory and statistics (46N30)

Related Items

Properties of distortion risk measures ⋮ On the link between monetary and star-shaped risk measures ⋮ A note on convex risk statistic ⋮ Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders ⋮ Risk measures with comonotonic subadditivity or convexity on product spaces ⋮ Recent progress in random metric theory and its applications to conditional risk measures ⋮ Solvency II, or how to sweep the downside risk under the carpet ⋮ ON THE PENALTY FUNCTION AND ON CONTINUITY PROPERTIES OF RISK MEASURES ⋮ The minimal sublinear expectations and their related properties ⋮ An overview of representation theorems for static risk measures ⋮ Quasiconvex risk statistics with scenario analysis

Cites Work

• Non-additive measure and integral
• Convex measures of risk and trading constraints
• Coherent Measures of Risk
• Robust Statistics
• Unnamed Item