GENERALIZING DUTCH RISK MEASURES THROUGH IMPRECISE PREVISIONS

DOI10.1142/S0218488509005796zbMath1162.91396WikidataQ57499575 ScholiaQ57499575MaRDI QIDQ3629764

Renato Pelessoni, Paolo Vicig, Pietro Baroni

Publication date: 2 June 2009

Published in: International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (6)

Bruno de Finetti and imprecision: imprecise probability does not exist! ⋮ 2-coherent and 2-convex conditional lower previsions ⋮ Inference and risk measurement with the pari-mutuel model ⋮ The Goodman-Nguyen relation within imprecise probability theory ⋮ RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS ⋮ Conditional submodular Choquet expected values and conditional coherent risk measures

Cites Work

• Some characterizations of lower probabilities and other monotone capacities through the use of Möbius inversion
• The Dutch premium principle
• A note on experience rating, reinsurance and premium principles
• Uncertainty-based information. Elements of generalized information theory
• Convex imprecise previsions
• Convex measures of risk and trading constraints
• Niveloids
• Uncertainty modelling and conditioning with convex imprecise previsions
• Conditional and dynamic convex risk measures
• Generalized deviations in risk analysis
• Coherent Measures of Risk
• Risk Measures and Comonotonicity: A Review
• Conditional Risk Mappings
• IMPRECISE PREVISIONS FOR RISK MEASUREMENT

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