Representation theorems for WVaR with respect to a capacity

DOI10.1016/J.SPL.2019.108655MaRDI QIDQ2288804zbMATH OpenOpenAlexWikidataFDO

Authors Hongmin Yuan, Long Jiang, Dejian Tian

Publication date 20 January 2020

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2019.108655

zbMATH Keywords

AVaRcapacityChoquet integraldistorted capacityrepresentationWVaR

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

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• Coherent measures of risk
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures
• Dynamic portfolio choice when risk is measured by weighted VaR
• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• Integral Representation Without Additivity
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• Maxmin expected utility with non-unique prior
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• Representation of capacities
• Representation of the penalty term of dynamic concave utilities
• Risk management with weighted VaR
• Risk Measures and Comonotonicity: A Review
• Risk measures via g-expectations
• Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
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• Stochastic dominance with respect to a capacity and risk measures
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• Stochastic finance. An introduction in discrete time.
• Stochastic orderings with respect to a capacity and an application to a financial optimization problem
• Subjective Probability and Expected Utility without Additivity
• Theory of capacities
• Weighted V\@R and its properties

Cited in

(3)

• A modified version of stochastic dominance involving dependence
• Representation theorem for AVaR under a submodular capacity
• L^p solutions of general time interval BSDEs with generators satisfying a p-order weak stochastic-monotonicity condition

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