Results 1 to 10 of about 665 (108)
Robust risk aggregation with neural networks. [PDF]
Math Financ, 2020 We consider settings in which the distribution of a multivariate random variable is partly ambiguous. We assume the ambiguity lies on the level of the dependence structure, and that the marginal distributions are known.
Eckstein S, Kupper M, Pohl M.
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Quantitative approximation by nonlinear Angheluta-Choquet singular integrals
Journal of Numerical Analysis and Approximation Theory, 2020 By using the concept of nonlinear Choquet integral with respect to a capacity and as a generalization of the Poisson-Cauchy-Choquet operators, we introduce the nonlinear Angheluta-Choquet singular integrals with respect to a family of submodular set ...
Sorin Gal, Ionut Iancu
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Generalizations of Related Fritz Carlson Type Inequalities for Fuzzy Integrals [PDF]
Sahand Communications in Mathematical Analysis, 2021 In this paper, We review general related inequalities to Carlson-type inequalities for the Sugeno integral on an abstract fuzzy measure space $(X,\Sigma)$. Some examples are given to illustrate the validity of main results.
Bayaz Daraby
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Study on Some Integral Inequalities for Pseudo-Integrals [PDF]
Sahand Communications in Mathematical Analysis, 2022 In this paper, we express and prove Stolarsky, Feng Qi and Markov type inequalities for two classes of pseudo-integrals. One of them concerning the pseudo-integrals based on a function reduces on the g-integral where pseudo-operations are defined by a ...
Bayaz Daraby
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On $\star$-associated comonotone functions [PDF]
Kybernetika, 2018 Summary: We give a positive answer to two open problems stated by \textit{M. Boczek} and \textit{M. Kaluszka} in their paper [Kybernetika 52, No. 3, 329--347 (2016; Zbl 1389.26063)]. The first one deals with an algebraic characterization of comonotonicity.
Hutník, Ondrej, Pócs, Jozef
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Decomposition approaches to integration without a measure [PDF]
, 2015 Extending the idea of Even and Lehrer [3], we discuss a general approach to integration based on a given decomposition system equipped with a weighting function, and a decomposition of the integrated function.
Greco, Salvatore +3 more
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Integral representation of continuous comonotonically additive functionals [PDF]
Transactions of the American Mathematical Society, 1998 It is shown that for any quasi integral \(I\) on a Stone lattice \(L\) with \(I(1)= 1\) there exists a unique upper-continuous capacity \(\mu\) on the collection \(\Sigma\) of all upper contours of all functions belonging to \(L\) satisfying \(I(a)= \int_X ad\mu\), \(a\in L\).
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Signed integral representations of comonotonic additive functionals
Journal of Mathematical Analysis and Applications, 2012 For Choquet integrals, two different frameworks are typically used. The first, introduced by Schmeidler, uses a space of bounded measurable functions, the second, studied by Zhou, uses a Stone vector lattice. In the present paper, the authors find a unified treatment.
Cerreia-Vioglio,Simone +3 more
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Pareto efficiency for the concave order and multivariate comonotonicity [PDF]
, 2011 In this paper, we focus on efficient risk-sharing rules for the concave dominance order. For a univariate risk, it follows from a comonotone dominance principle, due to Landsberger and Meilijson [25], that efficiency is characterized by a comonotonicity ...
Carlier, Guillaume +2 more
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PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS [PDF]
ASTIN Bulletin, 2016 AbstractOptimal reinsurance indemnities have widely been studied in the literature, yet the bargaining for optimal prices has remained relatively unexplored. Therefore, the key objective of this paper is to analyze the price of reinsurance contracts.
Boonen, T.J., Tan, K.S., Zhuang, S.C.
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