Core of convex distortions of a probability.
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Cites work
- scientific article; zbMATH DE number 1218462 (Why is no real title available?)
- scientific article; zbMATH DE number 3432940 (Why is no real title available?)
- scientific article; zbMATH DE number 3223984 (Why is no real title available?)
- scientific article; zbMATH DE number 3263581 (Why is no real title available?)
- "Expected Utility" Analysis without the Independence Axiom
- A Schur concave characterization of risk aversion for non-expected utility preferences
- A bibliographical note on a theorem of Hardy, Littlewood, and Polya
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Comparative statics and non-expected utility preferences
- Convex games and extreme points
- Cores of exact games. I
- Extreme Points of Some Convex Subsets of L 1 (0, 1)
- Integral Representation Without Additivity
- Measure preserving transformations and rearrangements
- Non-additive measure and integral
- Risk aversion in the theory of expected utility with rank dependent probabilities
- The Dual Theory of Choice under Risk
- Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
- \(L_ p\)-Fréchet differentiable preference and ``local utility analysis
Cited in
(37)- Cost-efficient contingent claims with market frictions
- Representation of the core of convex measure games via Kantorovich potentials
- Co-monotonicity of optimal investments and the design of structured financial products
- Rearrangement inequalities in non-convex insurance models
- Ambiguity on the insurer's side: the demand for insurance
- A characterization of the core of convex games through Gâteaux derivatives
- Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities
- Differentiability properties of rank-linear utilities
- Behavioral optimal insurance
- Are generalized call-spreads efficient?
- Diversification, convex preferences and non-empty core in the Choquet expected utility model.
- Optimal risk sharing with non-monotone monetary functionals
- A numerical approach for a class of risk-sharing problems
- Asset allocation with distorted beliefs and transaction costs
- Optimal demand for contingent claims when agents have law invariant utilities
- On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
- Equimeasurable rearrangements with capacities
- Pricing under dynamic risk measures
- On comonotonicity of Pareto optimal risk sharing
- Coherence and elicitability
- Differentiating ambiguity and ambiguity attitude
- A Neyman-Pearson problem with ambiguity and nonlinear pricing
- Robust optimal risk sharing and risk premia in expanding pools
- Risk Measures and Robust Optimization Problems
- When an event makes a difference
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Weighted V\@R and its properties
- Distortion risk measures: prudence, coherence, and the expected shortfall
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- On two approaches to coherent risk contribution
- To split or not to split: Capital allocation with convex risk measures
- Bipolar behavior of submodular, law-invariant capacities
- Bowley vs. Pareto optima in reinsurance contracting
- Capital allocation for portfolios with non-linear risk aggregation
- Choquet utility from distorted probabilities: a characterization
- Optimal insurance design under rank-dependent expected utility
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
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