On conditional Chisini means and risk measures

DOI10.1016/J.JMAA.2023.127124MaRDI QIDQ2701288zbMATH OpenOpenAlexFDO

Authors Alessandro Doldi, Marco Maggis

Publication date 28 April 2023

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2209.10871

zbMATH Keywords

risk measuresconditional expectationnonlinear expectationscalarization methodgeneralized mean

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91Gxx) Mathematical economics (91Bxx) Stochastic processes (60Gxx)

Recommendations

• Conditional and dynamic convex risk measures
• Conditional submodular Choquet expected values and conditional coherent risk measures
• Conditional implicit mean and the law of iterated integrals
• Conditional Risk Mappings
• Conditional cores and conditional convex hulls of random sets

Cites work

• scientific article; zbMATH DE number 1022658 (Why is no real title available?)
• scientific article; zbMATH DE number 2144817 (Why is no real title available?)
• scientific article; zbMATH DE number 3395595 (Why is no real title available?)
• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Conditional and dynamic convex risk measures
• Filtration-consistent nonlinear expectations and related g-expectations
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• RISK MEASURES: RATIONALITY AND DIVERSIFICATION
• State dependent expected utility for Savage's state space
• Stochastic finance. An introduction in discrete time.
• Utility and means in the 1930s

Cited in

(4)

• On conditioning and consistency for nonlinear functionals
• Conditional implicit mean and the law of iterated integrals
• Collective dynamic risk measures
• On Conditional Chisini Means and Risk Measures

This page was built for publication: On conditional Chisini means and risk measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2701288)