Conditional submodular Choquet expected values and conditional coherent risk measures

DOI10.1016/J.IJAR.2019.06.004MaRDI QIDQ2302766zbMATH OpenOpenAlexWikidataFDO

Authors Davide Petturiti, Barbara Vantaggi

Publication date 26 February 2020

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ijar.2019.06.004

zbMATH Keywords

conditional Choquet expected valueconditional submodular capacityconditional coherent risk measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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• IMPRECISE PREVISIONS FOR RISK MEASUREMENT
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• Inference and risk measurement with the pari-mutuel model
• Inferential processes leading to possibility and necessity
• Integral Representation Without Additivity
• Locally strong coherence in inference processes
• Lower Previsions
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• Maxmin expected utility with non-unique prior
• Models for pessimistic or optimistic decisions under different uncertain scenarios
• Non-additive measure and integral
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• Partial identification in statistical matching with misclassification
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• The Goodman-Nguyen relation within imprecise probability theory
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• Uncertainty modelling and conditioning with convex imprecise previsions
• Updating ambiguous beliefs
• Updating coherent previsions on finite spaces
• Upper and Lower Probabilities Induced by a Multivalued Mapping
• When upper probabilities are possibility measures
• \(T\)-conditional possibilities: coherence and inference
• n-monotone exact functionals

Cited in

(16)

• Representation theorem for AVaR under a submodular capacity
• Quasi-sure analysis, aggregation and dual representations of sublinear expectations in general spaces
• Conditional expectation for submodular (supermodular) non-additive measures
• Special issue on 9th international conference on soft methods in probability and statistics (SMPS)
• The extent of partially resolving uncertainty in assessing coherent conditional plausibilities
• Conditional expectation under capacity
• Conditional decisions under objective and subjective ambiguity in Dempster-Shafer theory
• A Dutch book coherence condition for conditional completely alternating Choquet expectations
• Modeling agent's conditional preferences under objective ambiguity in Dempster-Shafer theory
• Risk averse submodular utility maximization
• Coherent conditional measures of risk defined by the Choquet integral with respect to Hausdorff outer measure and stochastic independence in risk management
• THE SET OF PRIORS IN THE REPRESENTATION OF CHOQUET EXPECTATION WHEN A CAPACITY IS SUBMODULAR
• Risk analysis via Łukasiewicz logic
• On conditional Chisini means and risk measures
• A subjective interpretation of Liu-Liu's credibility measures and expectations
• Conditional Choquet expectation

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