The method of risk measuring based on set-valued Choquet integrals

MaRDI QIDQ2992587zbMATH OpenFDO

Authors Hongxia Wang

Publication date 10 August 2016

zbMATH Keywords

capacityrisk measurementset-valued Choquet integral

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fuzzy measure theory (28E10) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20)

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Cited in

(7)

• Set-valued risk statistics with scenario analysis
• On some claims related to Choquet integral risk measures
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• scientific article; zbMATH DE number 7266413 (Why is no real title available?)
• Constructing Risk Measures from Uncertainty Sets
• Assessing the integrated risk based on Choquet integral
• Set optimization of set-valued risk measures

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