When there is uncertainty about interest rates (typically due to either illiquidity or defaultability of zero coupon bonds) the cash- additivity assumption on risk measures becomes problematic. When this assumption is weakened, to cash-subadditivity for example, the equivalence between convexity...

Starting with the seminal paper of Gilboa and Schmeidler (1989) an analogy between the maxmin approach of Decision Theory under Ambiguity and the minimax approach of Robust Statistics -- e.g. Huber and Strassen (1973) -- has been hinted at. The present paper formally clarifies this relation by...

We consider decision makers that know that payo¤ relevant observations are generated by a process that belongs to a given class M, as postulated in Wald [33]. We incorporate this Waldean piece of objective information within an otherwise subjective setting a la Savage [30] and show that this...

We give a general integral representation theorem (Theorem 6) for nonadditive functionals de?ned on an Archimedean Riesz space X with order unit. Additivity is replaced by a weak form of modularity, or equivalently dual comonotonic additivity, and integrals are Choquet integrals. Those integrals...