Results 21 to 30 of about 665 (108)
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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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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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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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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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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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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Causal mediation and sensitivity analysis for mixed-scale data. [PDF]
Stat Methods Med Res, 2023 Rene L, Linero AR, Slate E.
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Optimal Risk Sharing for Law Invariant Monetary Utility Functions [PDF]
We consider the problem of optimal risk sharing of some given total risk between two economic agents characterized by law-invariant monetary utility functions or equivalently, law-invariant risk measures.
Elyès Jouini +2 more
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