Stochastic orderings with respect to a capacity and an application to a financial optimization problem (Q2247937)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic orderings with respect to a capacity and an application to a financial optimization problem |
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Stochastic orderings with respect to a capacity and an application to a financial optimization problem (English)
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30 June 2014
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stochastic orderings
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increasing convex stochastic dominance
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Choquet integral
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quantile function with respect to a capacity
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stop-loss ordering
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Choquet expected utility
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distorted capacity
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generalized Hardy-Littlewood's inequalities
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distortion risk measure
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premium principle
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ambiguity
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non-additive probability
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