IMPRECISE PREVISIONS FOR RISK MEASUREMENT

DOI10.1142/S0218488503002156MaRDI QIDQ5696995zbMATH OpenFDO

Authors 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)

Full work available at URL https://doi.org/10.1142/S0218488503002156

zbMATH Keywords

avoiding sure loss conditioncoherent risk measureimprecise previsionvalue-at-risk

Mathematics Subject Classification ID

Recommendations

• Financial risk measurement with imprecise probabilities
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Cites work

• A synthesis of risk measures for capital adequacy
• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Bayesian Risk Measures for Derivatives via Random Esscher Transform
• Coherent measures of risk
• Convex measures of risk and trading constraints
• DECISION MAKING UNDER DEMPSTER-SHAFER UNCERTAINTIES
• Decision making with belief structures: an application in risk management
• Exact functionals and their core
• scientific article; zbMATH DE number 3514748 (Why is no real title available?)
• Subjective Probability and Expected Utility without Additivity

Cited in

(19)

• Convex imprecise previsions
• Conditional submodular Choquet expected values and conditional coherent risk measures
• Coherent and convex fair pricing and variability measures
• Financial risk measurement with imprecise probabilities
• Uncertainty modelling and conditioning with convex imprecise previsions
• Bayes theorem bounds for convex lower previsions
• 2-coherent and 2-convex conditional lower previsions
• A gambler's gain prospects with coherent imprecise previsions
• GENERALIZING DUTCH RISK MEASURES THROUGH IMPRECISE PREVISIONS
• Characterizing coherence, correcting incoherence
• A sandwich theorem for natural extensions
• Foreseen risks
• On the selection of an optimal outer approximation of a coherent lower probability
• Addressing ambiguity in randomized reinsurance stop-loss treaties using belief functions
• Inference and risk measurement with the pari-mutuel model
• Jensen's and Cantelli's inequalities with imprecise previsions
• Risk index based uncertain portfolio selection with monotone increasing multiplicative background risk
• The imprecise vertical barrier models for distorting lower probabilities
• Cauchy-Schwarz inequalities from the viewpoint of lower and upper previsions

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