Dilatation monotonous Choquet integrals

DOI10.1016/j.jmateco.2005.02.001zbMath1138.91503OpenAlexW1981394676MaRDI QIDQ2581296

Johannes Leitner

Publication date: 9 January 2006

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2005.02.001

zbMATH Keywords

capacityChoquet integralcoherent risk measuredilatation monotonicityutility functionalrisk-adjusted value

Mathematics Subject Classification ID

Contents, measures, outer measures, capacities (28A12) Utility theory (91B16) Fuzzy measure theory (28E10)

Related Items (4)

Convex order and comonotonic conditional mean risk sharing ⋮ On Hoeffding and Bernstein type inequalities for sums of random variables in non-additive measure spaces and complete convergence ⋮ Choquet calculus using operational matrices ⋮ Probability inequalities for decomposition integrals

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