Inference and risk measurement with the pari-mutuel model

DOI10.1016/J.IJAR.2010.08.005MaRDI QIDQ622274zbMATH OpenOpenAlexFDO

Authors Renato Pelessoni, Paolo Vicig, M. Zaffalon

Publication date 31 January 2011

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ijar.2010.08.005

zbMATH Keywords

risk measuresdilationnatural extension2-monotonicityimprecision increasepari-mutuel model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3671542 (Why is no real title available?)
• scientific article; zbMATH DE number 48344 (Why is no real title available?)
• scientific article; zbMATH DE number 3514748 (Why is no real title available?)
• Bayes theorem bounds for convex lower previsions
• Dilation for sets of probabilities
• Finitely additive extensions of distribution functions and moment sequences: the coherent lower prevision approach
• GENERALIZING DUTCH RISK MEASURES THROUGH IMPRECISE PREVISIONS
• IMPRECISE PREVISIONS FOR RISK MEASUREMENT
• Inference and risk measurement with the pari-mutuel model
• Non-additive measure and integral
• Williams coherence and beyond

Cited in

(16)

• Deciding when to quit the gambler's ruin game with unknown probabilities
• Pari-mutuel probabilities as an uncertainty model
• Nearly-linear uncertainty measures
• 2-monotone outer approximations of coherent lower probabilities
• Processing distortion models: a comparative study
• Centroids of credal sets: a comparative study
• The Goodman-Nguyen relation within imprecise probability theory
• Inference and risk measurement with the pari-mutuel model
• Inference with nearly-linear uncertainty models
• Centroids of the core of exact capacities: a comparative study
• Conditional submodular Choquet expected values and conditional coherent risk measures
• On the selection of an optimal outer approximation of a coherent lower probability
• Dilation properties of coherent Nearly-Linear models
• The Goodman-Nguyen relation in uncertainty measurement
• Independence and 2-monotonicity: nice to have, hard to keep
• Weak Dutch books with imprecise previsions

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