Synergy Modelling and Financial Valuation : the contribution of Fuzzy Integrals

Financial valuation methods use additive aggregation operators. But a patrimony should be regarded as an organized set, and additivity makes it impossible for these aggregation operators to formalize such phenomena as synergy or mutual inhibition between the patrimony’s components. This paper considers the application of fuzzy measure and fuzzy integrals (Sugeno, Grabisch, Choquet) to financial valuation. More specifically, we show how integration with respect to a non additive measure can be used to handle positive or negative synergy in value construction.