On Choquet integral risk measures

DOI10.1007/978-3-642-11960-6_2MaRDI QIDQ3589882zbMATH OpenOpenAlexFDO

Authors Songsak Sriboonchitta, Hung T. Nguyen

Publication date 21 September 2010

Published in Advances in Intelligent and Soft Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-11960-6_2

Mathematics Subject Classification ID

Contents, measures, outer measures, capacities (28A12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(11)

• Using Choquet integral in economics
• Choquet pricing and equilibrium.
• On some claims related to Choquet integral risk measures
• A survey of decision making and optimization under uncertainty
• Toward categorical risk measure theory
• The method of risk measuring based on set-valued Choquet integrals
• On the representability of coherent risk measures as Choquet integrals
• Assessing the integrated risk based on Choquet integral
• Characterization, robustness, and aggregation of signed Choquet integrals
• A note on Choquet integrals and imprecise market premium functionals
• Bounds on Choquet risk measures in finite product spaces with ambiguous marginals

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