Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals (Q3417649)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals |
scientific article |
Statements
Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals (English)
0 references
30 January 2007
0 references
capacity
0 references
dilatation monotonicity
0 references
comonotonicity
0 references
coherent risk measure
0 references
risk-adjusting value functional
0 references
Choquet integral
0 references
law invariant risk measure
0 references
comonotonic additivity
0 references
