Uncertainty modelling and conditioning with convex imprecise previsions

DOI10.1016/J.IJAR.2004.10.007MaRDI QIDQ2386121zbMATH OpenOpenAlexFDO

Authors Renato Pelessoni, Paolo Vicig

Publication date 22 August 2005

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

Full work available at URL https://doi.org/10.1016/j.ijar.2004.10.007

zbMATH Keywords

Convex conditional imprecise previsionsConvex imprecise previsionsConvex natural extensionGeneralised Bayes ruleRisk measures

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• A new understanding of subjective probability and its generalization to lower and upper prevision.
• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Coherent measures of risk
• Computing posterior upper expectations
• Convex imprecise previsions
• Convex measures of risk and trading constraints
• Direct algorithms for checking consistency and making inferences from conditional probability assessments
• Exact functionals and their core
• scientific article; zbMATH DE number 48344 (Why is no real title available?)
• scientific article; zbMATH DE number 1795843 (Why is no real title available?)
• IMPRECISE PREVISIONS FOR RISK MEASUREMENT
• Indeterminate probabilities on finite sets
• Notes on conditional previsions
• Supremum preserving upper probabilities
• Uncertainty-based information. Elements of generalized information theory
• Viability and equilibrium in securities markets with frictions

Cited in

(24)

• Convex imprecise previsions
• Weakly consistent extensions of lower previsions
• Nonlinear desirability as a linear classification problem
• A survey of the theory of coherent lower previsions
• Conditional submodular Choquet expected values and conditional coherent risk measures
• Accept \& reject statement-based uncertainty models
• Bruno de Finetti and imprecision: imprecise probability does not exist!
• Coherent and convex fair pricing and variability measures
• Financial risk measurement with imprecise probabilities
• Weak Dutch books with imprecise previsions
• Bayes theorem bounds for convex lower previsions
• The Goodman-Nguyen relation in uncertainty measurement
• 2-coherent and 2-convex conditional lower previsions
• GENERALIZING DUTCH RISK MEASURES THROUGH IMPRECISE PREVISIONS
• scientific article; zbMATH DE number 1150215 (Why is no real title available?)
• The Goodman-Nguyen relation within imprecise probability theory
• Preprocessing under uncertainty
• A sandwich theorem for natural extensions
• IMPRECISE PREVISIONS FOR RISK MEASUREMENT
• Markov chains under nonlinear expectation
• Jensen's and Cantelli's inequalities with imprecise previsions
• Notes on ``Notes on conditional previsions
• Notes on conditional previsions
• Williams coherence and beyond

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