Bounds on Choquet risk measures in finite product spaces with ambiguous marginals

DOI10.1515/strm-2023-0006arXiv2212.01533OpenAlexW4388127715MaRDI QIDQ6139264

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Publication date: 18 January 2024

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

Full work available at URL: https://arxiv.org/abs/2212.01533

zbMATH Keywords

cooperative gamesrisk measuresrisk managementoptimal transportnonadditive measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Credit risk (91G40) Optimal transportation (49Q22)

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