Stochastic dominance with respect to a capacity and risk measures

DOI10.1515/STRM-2014-1167zbMath1310.60015OpenAlexW1557659630MaRDI QIDQ490348

Miryana Grigorova

Publication date: 22 January 2015

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2014-1167

zbMATH Keywords

Choquet integralambiguityquantile functionKnightian uncertaintystochastic orderingsdistortion functionbehavioural financeChoquet risk measureKusuoka's representationtail value at risk

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06) Fuzzy measure theory (28E10)

Related Items (8)

Uncertainty orders on the sublinear expectation space ⋮ What attitudes to risk underlie distortion risk measure choices? ⋮ Hardy-Littlewood's inequalities in the case of a capacity ⋮ When a combination of convexity and continuity forces monotonicity of preferences ⋮ Stochastic ordering by \(g\)-expectations ⋮ Representation theorems for WVaR with respect to a capacity ⋮ Quantile-Based Risk Sharing ⋮ \( G\)-expectation approach to stochastic ordering

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