The Choquet integral based on fuzzy measure is a generalization of the weighted average operator. Due to flexibility in the aggregation of information and ability to take into account possible uncertainties in data the integral has been gaining popularity in the application of multicriteria...

There is an extensive literature on decision making under uncertainty. Unfortunately, up to date there are no valid decision principles. Experimental evidence has repeatedly shown that widely used principle of maximization of expected utility has serious shortcomings. Utility function and...

SUMMARY The purpose of our paper is to link some results on the Choquet integrals with the theory of coherent risk measures. Using this link we establish some properties of dilatation monotone and comonotonic coherent measures of risk. In particular it is shown that on an atomless probability...