Characterization, Robustness, and Aggregation of Signed Choquet Integrals
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Publication:3387911
DOI10.1287/MOOR.2019.1020zbMath1455.91072OpenAlexW3123924727MaRDI QIDQ3387911
Ruodu Wang, Gordon E. Willmot, Yunran Wei
Publication date: 8 January 2021
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.2019.1020
Related Items (15)
Dispersive orderings induced by differences of inter risk measures ⋮ An impossibility theorem on capital allocation ⋮ Optimal insurance to maximize RDEU under a distortion-deviation premium principle ⋮ Parametric measures of variability induced by risk measures ⋮ Risk measures induced by efficient insurance contracts ⋮ Bayes risk, elicitability, and the Expected Shortfall ⋮ Choquet Regularization for Continuous-Time Reinforcement Learning ⋮ Ordering and inequalities for mixtures on risk aggregation ⋮ A framework for measures of risk under uncertainty ⋮ DISTORTION RISKMETRICS ON GENERAL SPACES ⋮ A composition between risk and deviation measures ⋮ On the extension property of dilatation monotone risk measures ⋮ Star-shaped deviations ⋮ Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures ⋮ Distributional Transforms, Probability Distortions, and Their Applications
Uses Software
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