Representation theorem for AVaR under a submodular capacity

DOI10.3969/J.ISSN.1000-5641.2014.03.004MaRDI QIDQ5498181zbMATH OpenFDO

Authors Dejian Tian, Long Jiang, Rong-Lin Ji

Publication date 11 February 2015

Full work available at URL https://doi.org/10.3969/J.ISSN.1000-5641.2014.03.004

zbMATH Keywords

AVaRquantile functionrepresentation theoremsubmodular capacity

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cited in

(3)

• Bipolar behavior of submodular, law-invariant capacities
• Representation theorems for WVaR with respect to a capacity
• THE SET OF PRIORS IN THE REPRESENTATION OF CHOQUET EXPECTATION WHEN A CAPACITY IS SUBMODULAR

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