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Monotone equimeasurable rearrangements with non-additive probabilities
Ghossoub, Mario - Volkswirtschaftliche Fakultät, … - 2011
In the classical theory of monotone equimeasurable rearrangements of functions, “equimeasurability” (i.e. the fact the two functions have the same distribution) is defined relative to a given additive probability measure. These rearrangement tools have been successfully used in many problems...
Persistent link: https://www.econbiz.de/10011259995
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On the convex hull of K-additive 0-1 capacities and its application to model identification in decision making
Grabisch, Michel; Labreuche, Christophe - 2022
Persistent link: https://www.econbiz.de/10013169953
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Stochastic dominance with respect to a capacity and risk measures
Grigorova, Miryana - HAL - 2011
also called a capacity, the present paper gives a generalization to the case of a capacity of the classical notion of … quantile function with respect to the given capacity. Characterizations, involving Choquet integrals with respect to a … distorted capacity, are established for the classes of monetary risk measures (defined on the space of bounded real …
Persistent link: https://www.econbiz.de/10009368022
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A representation of risk measures
Amarante, Massimiliano - 2013
Persistent link: https://www.econbiz.de/10010230249
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A Representation of Risk Measures
AMARANTE, Massimiliano - Centre Interuniversitaire de Recherche en Économie … - 2013
We provide a representation theorem for risk measures satisfying (i) monotonicity; (ii) positive homogeneity; and (iii) translation invariance. As a simple corollary to our theorem, we obtain the usual representation of coherent risk measures (i.e., risk measures that are, in addition,...
Persistent link: https://www.econbiz.de/10010883524
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Capacities and Games on Lattices: A Survey of Result
Grabisch, Michel - HAL - 2006
We provide a survey of recent developments about capacities (or fuzzy measures) and ccoperative games in characteristic form, when they are defined on more general structures than the usual power set of the universal set, namely lattices. In a first part, we give various possible interpretations...
Persistent link: https://www.econbiz.de/10010750699
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A decade of application of the Choquet and Sugeno integrals in multi-criteria decision aid
Grabisch, Michel; Labreuche, Christophe - HAL - 2008
The main advances regarding the use of the Choquet and Sugeno integrals in multi-criteria decision aid over the last decade are reviewed. They concern mainly a bipolar extension of both the Choquet integral and the Sugeno integral, interesting particular submodels, new learning techniques, a...
Persistent link: https://www.econbiz.de/10010750818
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A decade of application of the Choquet and Sugeno integrals in multi-criteria decision aid
Grabisch, Michel; Labreuche, Christophe - HAL - 2010
The main advances regarding the use of the Choquet and Sugeno integrals in multi-criteria decision aid over the last decade are reviewed. They concern mainly a bipolar extension of both the Choquet integral and the Sugeno integral, interesting particular submodels, new learning techniques, a...
Persistent link: https://www.econbiz.de/10010603640
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A Representation of Risk Measures
AMARANTE, Massimiliano - Département de Sciences Économiques, Université de … - 2013
We provide a representation theorem for risk measures satisfying (i) monotonicity; (ii) positive homogeneity; and (iii) translation invariance. As a simple corollary to our theorem, we obtain the usual representation of coherent risk measures (i.e., risk measures that are, in addition,...
Persistent link: https://www.econbiz.de/10011186229
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Efficient Insurance Contracts under Epsilon-Contaminated Utilities
Shahidi, Niousha; Carlier, Guillaume; Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2003
This paper analyses the qualitative properties of optimal contracts when agents have multiple priors and are uncertainty averse in an infinite state space framework. The case of the epsilon-contamination of a given prior, a basic tool in robustness theory is fully developped. It is shown that if...
Persistent link: https://www.econbiz.de/10011166453