Dilatation monotonous Choquet integrals

DOI10.1016/J.JMATECO.2005.02.001MaRDI QIDQ2581296zbMATH OpenOpenAlexFDO

Authors 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 monotonicityrisk-adjusted valueutility functional

Mathematics Subject Classification ID

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

Recommendations

• Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals
• Dilatation monotone risk measures are law invariant
• Characterization, robustness, and aggregation of signed Choquet integrals
• A note on comonotonic additivity
• Choquet integral representation of premium functional and related properties on capacity spaces

Cites work

• A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES
• A synthesis of risk measures for capital adequacy
• Advances in prospect theory: cumulative representation of uncertainty
• Axiomatic characterization of insurance prices
• BALAYAGE MONOTONOUS RISK MEASURES
• Coherent measures of risk
• Comparaison, des mesures portées par un ensemble convexe compact
• Cores of convex games
• Fuzzy measures and integrals. Theory and applications
• scientific article; zbMATH DE number 48344 (Why is no real title available?)
• scientific article; zbMATH DE number 3560492 (Why is no real title available?)
• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• scientific article; zbMATH DE number 1833393 (Why is no real title available?)
• scientific article; zbMATH DE number 3223983 (Why is no real title available?)
• scientific article; zbMATH DE number 3068103 (Why is no real title available?)
• Integral Representation Without Additivity
• Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
• Minimax tests and the Neyman-Pearson lemma for capacities
• Non-additive measure and integral
• On a Theorem of Hardy, Littlewood, Polya, and Blackwell
• On the use of capacities in modeling uncertainty aversion and risk aversion
• Prospect Theory: An Analysis of Decision under Risk
• Risk, ambiguity and the Savage axioms
• Robust Statistics
• Stochastic finance. An introduction in discrete time
• Subjective Probability and Expected Utility without Additivity
• The Dual Theory of Choice under Risk
• The Existence of Probability Measures with Given Marginals
• Theory of capacities
• Upper and Lower Probabilities Induced by a Multivalued Mapping

Cited in

(7)

• Choquet calculus using operational matrices
• Convex order and comonotonic conditional mean risk sharing
• Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals
• Choquet utility from distorted probabilities: a characterization
• On Hoeffding and Bernstein type inequalities for sums of random variables in non-additive measure spaces and complete convergence
• Approximating Choquet integral in generalized measure theory: Choquet-midpoint rule
• Probability inequalities for decomposition integrals

This page was built for publication: Dilatation monotonous Choquet integrals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2581296)