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

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

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Cited in

(11)

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

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