On conditional Chisini means and risk measures

DOI10.1016/J.JMAA.2023.127124OpenAlexW4321369070MaRDI QIDQ2701288

Alessandro Doldi, Marco Maggis

Publication date: 28 April 2023

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2209.10871

zbMATH Keywords

conditional expectationrisk measuresnonlinear expectationscalarization methodgeneralized mean

Mathematics Subject Classification ID

Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx) Stochastic processes (60Gxx)

Cites Work

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• State Dependent Expected Utility for Savage's State Space
• RISK MEASURES: RATIONALITY AND DIVERSIFICATION

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