Stochastic orderings with respect to a capacity and an application to a financial optimization problem

DOI10.1515/strm-2013-1151zbMath1291.60040OpenAlexW1591878934MaRDI QIDQ2247937

Miryana Grigorova

Publication date: 30 June 2014

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2013-1151

zbMATH Keywords

Choquet integralambiguityChoquet expected utilitynon-additive probabilitystochastic orderingsdistortion risk measurepremium principlestop-loss orderingdistorted capacitygeneralized Hardy-Littlewood's inequalitiesincreasing convex stochastic dominancequantile function with respect to a capacity

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06) Utility theory (91B16) Fuzzy measure theory (28E10)

Related Items (6)

On Hoeffding and Bernstein type inequalities for sums of random variables in non-additive measure spaces and complete convergence ⋮ Choquet calculus using operational matrices ⋮ Stochastic ordering by \(g\)-expectations ⋮ Representation theorems for WVaR with respect to a capacity ⋮ \( G\)-expectation approach to stochastic ordering ⋮ Equimeasurable Rearrangements with Capacities

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