Stochastic orderings with respect to a capacity and an application to a financial optimization problem
Year of publication: |
2014
|
---|---|
Authors: | Grigorova, Miryana |
Published in: |
Statistics & Risk Modeling. - De Gruyter, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 31.2014, 2, p. 183-213
|
Publisher: |
De Gruyter |
Subject: | Stochastic orderings | increasing convex stochastic dominance | Choquet integral | quantile function with respect to a capacity | stop-loss ordering | Choquet expected utility | distorted capacity | generalized Hardy–Littlewood's inequalities | distortion risk measure | premium principle | ambiguity | non-additive probability |
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