Results 21 to 30 of about 665 (108)
Comonotone lower probabilities with robust marginal distributions functions
Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A. Matemáticas, 2022 AbstractOne of the usual dependence structures between random variables is comononicity, which refers to random variables that increase or decrease simultaneously. Besides the good mathematical properties, comonotonicity has been applied in choice theory under risk or in finance, among many other fields.
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Nearly Comonotone Approximation of Periodic Functions
Analysis in Theory and Applications, 2017 Suppose that a continuous $2\pi$-periodic function $f$ on the real axis changes its monotonicity at points $y_i: -\pi\le y_{2s}< y_{2s-1}< \cdots< ...
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Worst portfolios for dynamic monetary utility processes
, 2017 We study the worst portfolios for a class of law invariant dynamic monetary utility functions with domain in a class of stochastic processes. The concept of comonotonicity is introduced for these processes in order to prove the existence of worst ...
Hernandez-Hernandez, Daniel +1 more
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Optimal risk-sharing rules and equilibria with Choquet-expected-utility. [PDF]
This paper explores risk-sharing and equilibrium in a general equilibrium set-up wherein agents are non-additive expected utility maximizers. We show that when agents have the same convex capacity, the set of Pareto-optima is independent of it and ...
Chateauneuf, Alain +2 more
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Efficient Allocations under Ambiguity [PDF]
, 2013 Important implications of the expected utility hypothesis and risk aversion are that if agents have the same probability belief, then consumption plans in every efficient allocation of resources under uncertainty are comonotone with the aggregate ...
Strzalecki, Tomasz, Werner, Jan
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Quasi-Monte Carlo methods for Choquet integrals [PDF]
, 2015 We propose numerical integration methods for Choquet integrals where the capacities are given by distortion functions of an underlying probability measure.
Nakano, Yumiharu
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Journal of Mathematical Analysis and Applications, 2003 In the paper a locally compact space \(X\) is considered. Two real functions \(f\), \(g\) are comonotonic \((f\sim g)\) if \(f(x)< f(x')\) implies \(g(x)\leq g(x')\). A functional \(I\) is comonotonically additive, if \(f\sim g\) implies \(I(f+ g)= I(f)+ I(g)\) and \(f\leq g\) implies \(I(f)\leq I(g)\).
Y. Narukawa, T. Murofushi
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Anti-comonotone random variables and anti-monotone risk aversion [PDF]
This paper focuses on the study of decision making under risk. We first recall some model-free definitions of risl aversion and increase in risk. We propose a new form of behavior under risk that we call anti-monotone risk aversion (hererafter referred ...
Elyess Farhoud, Moez Abouda
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An easy computable upper bound for the price of an arithmetic Asian option. [PDF]
Using some results from risk theory on stop-loss order and comonotone risks, we show in this paper that the price of an arithmetic Asian option can be bounded from above by the price of a portfolio of European call options.
Dhaene, Jan, Goovaerts, Marc, Simon, S
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Diversification, convex preferences and non-empty core in the Choquet expected utility model [PDF]
This paper explores risk-sharing and equilibrium in a general equilibrium set-up wherein agents are non-additive expected utility maximizers. We show that when agents have the same convex capacity, the set of Pareto-optima is independent of it and ...
Alain Chateauneuf +2 more
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