Coherent conditional measures of risk defined by the Choquet integral with respect to Hausdorff outer measure and stochastic independence in risk management

DOI10.1016/J.IJAR.2015.07.005MaRDI QIDQ897743zbMATH OpenOpenAlexFDO

Authors Serena Doria

Publication date 7 December 2015

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

Full work available at URL https://doi.org/10.1016/j.ijar.2015.07.005

zbMATH Keywords

Choquet integralstochastic independencecoherent measures of riskHausdorff outer measures

Mathematics Subject Classification ID

Fractals (28A80) Fuzzy measure theory (28E10) Foundations of probability theory (60A99)

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Cites work

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• Axiomatic characterization of insurance prices
• Characterization of a coherent upper conditional prevision as the Choquet integral with respect to its associated Hausdorff outer measure
• Coherent measures of risk
• De Finetti's coherence and statistical inference
• Hausdorff dimension and capacities of intersections of sets in n-space
• Markets with a Continuum of Traders
• Non-additive measure and integral
• Probabilistic independence with respect to upper and lower conditional probabilities assigned by Hausdorff outer and inner measures
• Random fractals

Cited in

(3)

• On some claims related to Choquet integral risk measures
• Characterization of a coherent upper conditional prevision as the Choquet integral with respect to its associated Hausdorff outer measure
• Preference orderings represented by coherent upper and lower conditional previsions

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