Coherent conditional measures of risk defined by the Choquet integral with respect to Hausdorff outer measure and stochastic independence in risk management

DOI10.1016/j.ijar.2015.07.005zbMath1333.91024OpenAlexW1423726225MaRDI QIDQ897743

Serena Doria

Publication date: 7 December 2015

Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ijar.2015.07.005

zbMATH Keywords

Choquet integralstochastic independencecoherent measures of riskHausdorff outer measures

Mathematics Subject Classification ID

Related Items (1)

Preference orderings represented by coherent upper and lower conditional previsions

Cites Work

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• Hausdorff dimension and capacities of intersections of sets in n-space
• De Finetti's coherence and statistical inference
• Non-additive measure and integral
• Axiomatic characterization of insurance prices
• Characterization of a coherent upper conditional prevision as the Choquet integral with respect to its associated Hausdorff outer measure
• Probabilistic independence with respect to upper and lower conditional probabilities assigned by Hausdorff outer and inner measures
• Coherent Measures of Risk
• Random fractals
• Markets with a Continuum of Traders

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