Convex imprecise previsions (Q1412326)
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English | Convex imprecise previsions |
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Convex imprecise previsions (English)
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10 November 2003
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Centered convex previsions and convex imprecise previsions are introduced as special classes of imprecise previsions as defined by \textit{P. Walley} [``Statistical reasoning with imprecise probabilities'' (1991; Zbl 0732.62004)]. Convex duality is used to obtain a representation theorem for such previsions, and the link is made to the theory of convex risk measures as discussed by \textit{H. Föllmer} and the reviewer [``Stochastic finance: An introduction in discrete time' (2002; Zbl 1125.91053), Finance Stoch. 6, No. 4, 429--447 (2002; Zbl 1041.91039)].
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convex imprecise provisions
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centered convex previsions
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imprecise provision
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convex measure of risk
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