Stochastic dominance with respect to a capacity and risk measures

DOI10.1515/STRM-2014-1167MaRDI QIDQ490348zbMATH OpenOpenAlexFDO

Authors Miryana Grigorova

Publication date 22 January 2015

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/strm-2014-1167

zbMATH Keywords

ambiguityChoquet integralKnightian uncertaintyquantile functiondistortion functionstochastic orderingsbehavioural financeChoquet risk measureKusuoka's representationtail value at risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06) Inequalities; stochastic orderings (60E15) Fuzzy measure theory (28E10)

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Cited in

(13)

• Quantile-based risk sharing
• Stochastic ordering by \(g\)-expectations
• When a combination of convexity and continuity forces monotonicity of preferences
• Uncertainty orders on the sublinear expectation space
• Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
• What attitudes to risk underlie distortion risk measure choices?
• Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
• Hardy-Littlewood's inequalities in the case of a capacity
• A stochastic dominance approach to financial risk management strategies
• Operational asymptotic stochastic dominance
• Representation theorems for WVaR with respect to a capacity
• \( G\)-expectation approach to stochastic ordering
• Dual Stochastic Dominance and Related Mean-Risk Models

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