IMPRECISE PREVISIONS FOR RISK MEASUREMENT

DOI10.1142/S0218488503002156zbMath1074.91030MaRDI QIDQ5696995

Renato Pelessoni, Paolo Vicig

Publication date: 19 October 2005

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

zbMATH Keywords

value-at-riskcoherent risk measureimprecise previsionavoiding sure loss condition

Mathematics Subject Classification ID

Related Items (11)

2-coherent and 2-convex conditional lower previsions ⋮ Financial risk measurement with imprecise probabilities ⋮ Uncertainty modelling and conditioning with convex imprecise previsions ⋮ A Sandwich Theorem for Natural Extensions ⋮ On the selection of an optimal outer approximation of a coherent lower probability ⋮ Inference and risk measurement with the pari-mutuel model ⋮ Addressing ambiguity in randomized reinsurance stop-loss treaties using belief functions ⋮ Bayes theorem bounds for convex lower previsions ⋮ Characterizing coherence, correcting incoherence ⋮ GENERALIZING DUTCH RISK MEASURES THROUGH IMPRECISE PREVISIONS ⋮ Conditional submodular Choquet expected values and conditional coherent risk measures

Cites Work

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• Exact functionals and their core
• Convex measures of risk and trading constraints
• A synthesis of risk measures for capital adequacy
• Coherent Measures of Risk
• DECISION MAKING WITH BELIEF STRUCTURES: AN APPLICATION IN RISK MANAGEMENT
• Subjective Probability and Expected Utility without Additivity
• DECISION MAKING UNDER DEMPSTER-SHAFER UNCERTAINTIES
• Bayesian Risk Measures for Derivatives via Random Esscher Transform
• Application of Coherent Risk Measures to Capital Requirements in Insurance

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