On Choquet integral risk measures

DOI10.1007/978-3-642-11960-6_2zbMATH Open1194.91098OpenAlexW170348677MaRDI QIDQ3589882FDOQ3589882

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

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Mathematics Subject Classification ID

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

Cited In (11)

• Bounds on Choquet risk measures in finite product spaces with ambiguous marginals
• A survey of decision making and optimization under uncertainty
• Using Choquet integral in economics
• 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
• A note on Choquet integrals and imprecise market premium functionals

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