Uncertainty modelling and conditioning with convex imprecise previsions

DOI10.1016/J.IJAR.2004.10.007zbMATH Open1123.62077OpenAlexW2020453802MaRDI QIDQ2386121FDOQ2386121

Renato Pelessoni, Paolo Vicig

Publication date: 22 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.ijar.2004.10.007

zbMATH Keywords

Risk measuresConvex conditional imprecise previsionsConvex imprecise previsionsConvex natural extensionGeneralised Bayes rule

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Coherent measures of risk
• A new understanding of subjective probability and its generalization to lower and upper prevision.
• Uncertainty-based information. Elements of generalized information theory
• Title not available (Why is that?)
• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Notes on conditional previsions
• Convex measures of risk and trading constraints
• Supremum preserving upper probabilities
• Indeterminate probabilities on finite sets
• Convex imprecise previsions
• Title not available (Why is that?)
• IMPRECISE PREVISIONS FOR RISK MEASUREMENT
• Direct algorithms for checking consistency and making inferences from conditional probability assessments
• Viability and equilibrium in securities markets with frictions
• Exact functionals and their core
• Computing posterior upper expectations

Cited In (21)

• The Goodman-Nguyen Relation in Uncertainty Measurement
• Nonlinear desirability as a linear classification problem
• Financial risk measurement with imprecise probabilities
• GENERALIZING DUTCH RISK MEASURES THROUGH IMPRECISE PREVISIONS
• Markov chains under nonlinear expectation
• Preprocessing under uncertainty
• 2-coherent and 2-convex conditional lower previsions
• The Goodman-Nguyen relation within imprecise probability theory
• IMPRECISE PREVISIONS FOR RISK MEASUREMENT
• A Sandwich Theorem for Natural Extensions
• Coherent and convex fair pricing and variability measures
• A survey of the theory of coherent lower previsions
• Williams coherence and beyond
• Title not available (Why is that?)
• Conditional submodular Choquet expected values and conditional coherent risk measures
• Convex imprecise previsions
• Bruno de Finetti and imprecision: imprecise probability does not exist!
• Notes on ``Notes on conditional previsions
• Weakly consistent extensions of lower previsions
• Accept \& reject statement-based uncertainty models
• Bayes theorem bounds for convex lower previsions

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