GENERALIZING DUTCH RISK MEASURES THROUGH IMPRECISE PREVISIONS
From MaRDI portal
Publication:3629764
DOI10.1142/S0218488509005796zbMath1162.91396WikidataQ57499575 ScholiaQ57499575MaRDI QIDQ3629764
Renato Pelessoni, Paolo Vicig, Pietro Baroni
Publication date: 2 June 2009
Published in: International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems (Search for Journal in Brave)
Related Items
RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS, 2-coherent and 2-convex conditional lower previsions, The Goodman-Nguyen relation within imprecise probability theory, Inference and risk measurement with the pari-mutuel model, Conditional submodular Choquet expected values and conditional coherent risk measures, Bruno de Finetti and imprecision: imprecise probability does not exist!
Cites Work
- Some characterizations of lower probabilities and other monotone capacities through the use of Möbius inversion
- The Dutch premium principle
- A note on experience rating, reinsurance and premium principles
- Uncertainty-based information. Elements of generalized information theory
- Convex imprecise previsions
- Convex measures of risk and trading constraints
- Niveloids
- Uncertainty modelling and conditioning with convex imprecise previsions
- Conditional and dynamic convex risk measures
- Generalized deviations in risk analysis
- Coherent Measures of Risk
- Risk Measures and Comonotonicity: A Review
- Conditional Risk Mappings
- IMPRECISE PREVISIONS FOR RISK MEASUREMENT