2-coherent and 2-convex conditional lower previsions

DOI10.1016/J.IJAR.2016.06.003zbMATH Open1403.62018arXiv1606.06043OpenAlexW2413191152MaRDI QIDQ313137FDOQ313137

Paolo Vicig, Renato Pelessoni

Publication date: 9 September 2016

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

Abstract: In this paper we explore relaxations of (Williams) coherent and convex conditional previsions that form the families of $n$-coherent and $n$-convex conditional previsions, at the varying of $n$. We investigate which such previsions are the most general one may reasonably consider, suggesting (centered) $2$-convex or, if positive homogeneity and conjugacy is needed, $2$-coherent lower previsions. Basic properties of these previsions are studied. In particular, we prove that they satisfy the Generalized Bayes Rule and always have a $2$-convex or, respectively, $2$-coherent natural extension. The role of these extensions is analogous to that of the natural extension for coherent lower previsions. On the contrary, $n$-convex and $n$-coherent previsions with $ngeq3$ either are convex or coherent themselves or have no extension of the same type on large enough sets. Among the uncertainty concepts that can be modelled by $2$-convexity, we discuss generalizations of capacities and niveloids to a conditional framework and show that the well-known risk measure Value-at-Risk only guarantees to be centered $2$-convex. In the final part, we determine the rationality requirements of $2$-convexity and $2$-coherence from a desirability perspective, emphasising how they weaken those of (Williams) coherence.

Full work available at URL: https://arxiv.org/abs/1606.06043

zbMATH Keywords

value-at-risk2-coherent previsions2-convex previsionsgeneralised Bayes ruleWilliams coherence

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Empirical decision procedures; empirical Bayes procedures (62C12) Fuzzy probability (60A86)

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Cited In (11)

• Nonlinear desirability as a linear classification problem
• Nearly-linear uncertainty measures
• Sum-of-squares for bounded rationality
• Jensen's and Cantelli's inequalities with imprecise previsions
• Inference with nearly-linear uncertainty models
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• Nonlinear desirability theory
• Weakly consistent extensions of lower previsions
• Marginal extension in the theory of coherent lower previsions
• On Hurwicz-Nash equilibria of non-Bayesian games under incomplete information

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