Uncertainty modelling and conditioning with convex imprecise previsions

DOI10.1016/J.IJAR.2004.10.007MaRDI QIDQ2386121zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 48344 (Why is no real title available?)
• scientific article; zbMATH DE number 1795843 (Why is no real title available?)
• A new understanding of subjective probability and its generalization to lower and upper prevision.
• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Coherent measures of risk
• Computing posterior upper expectations
• Convex imprecise previsions
• Convex measures of risk and trading constraints
• Direct algorithms for checking consistency and making inferences from conditional probability assessments
• Exact functionals and their core
• IMPRECISE PREVISIONS FOR RISK MEASUREMENT
• Indeterminate probabilities on finite sets
• Notes on conditional previsions
• Supremum preserving upper probabilities
• Uncertainty-based information. Elements of generalized information theory
• Viability and equilibrium in securities markets with frictions

Cited in

(24)

• Nonlinear desirability as a linear classification problem
• Financial risk measurement with imprecise probabilities
• Notes on conditional previsions
• GENERALIZING DUTCH RISK MEASURES THROUGH IMPRECISE PREVISIONS
• Markov chains under nonlinear expectation
• Jensen's and Cantelli's inequalities with imprecise previsions
• Preprocessing under uncertainty
• 2-coherent and 2-convex conditional lower previsions
• The Goodman-Nguyen relation within imprecise probability theory
• IMPRECISE PREVISIONS FOR RISK MEASUREMENT
• Coherent and convex fair pricing and variability measures
• A survey of the theory of coherent lower previsions
• Williams coherence and beyond
• scientific article; zbMATH DE number 1150215 (Why is no real title available?)
• Conditional submodular Choquet expected values and conditional coherent risk measures
• Convex imprecise previsions
• Notes on ``Notes on conditional previsions
• Bruno de Finetti and imprecision: imprecise probability does not exist!
• The Goodman-Nguyen relation in uncertainty measurement
• Weak Dutch books with imprecise previsions
• Weakly consistent extensions of lower previsions
• A sandwich theorem for natural extensions
• Accept \& reject statement-based uncertainty models
• Bayes theorem bounds for convex lower previsions

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