Financial risk measurement with imprecise probabilities
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Publication:2379328
DOI10.1016/j.ijar.2007.06.009zbMath1185.91201OpenAlexW1992438271MaRDI QIDQ2379328
Publication date: 19 March 2010
Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ijar.2007.06.009
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Related Items (10)
Risk analysis via Łukasiewicz logic ⋮ On linearity of pan-integral and pan-integrable functions space ⋮ Some multivariate imprecise shock model copulas ⋮ Addressing ambiguity in randomized reinsurance stop-loss treaties using belief functions ⋮ RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS ⋮ Relationship between the concave integrals and the pan-integrals on finite spaces ⋮ Optimal stop-loss reinsurance with joint utility constraints ⋮ Conditional submodular Choquet expected values and conditional coherent risk measures ⋮ Constructing copulas from shock models with imprecise distributions ⋮ Normal cones corresponding to credal sets of lower probabilities
Cites Work
- Notes on conditional previsions
- The Dutch premium principle
- Indeterminate probabilities on finite sets
- Dilation for sets of probabilities
- Exact functionals and their core
- Convex imprecise previsions
- Convex measures of risk and trading constraints
- Direct algorithms for checking consistency and making inferences from conditional probability assessments
- Uncertainty modelling and conditioning with convex imprecise previsions
- Coherent Measures of Risk
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
- IMPRECISE PREVISIONS FOR RISK MEASUREMENT
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Coherent risk measures and good-deal bounds
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