Results 41 to 50 of about 665 (108)
On monotonicity of comonotonically maxitive functional
The comonotonic maxitivity property of functionals frequently appears in the characterization of fuzzy integrals based on the maximum operation. In some special cases, comonotonic maxitivity implies monotonicity of functionals. The question of whether this implication holds in general was posed by T. Radul (2023).
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More pessimism than greediness: a characterization of monotone risk aversion in the Rank-Dependent Expected Utility model [PDF]
This paper studies monotone risk aversion, the aversion to monotone, meanpreserving increase in risk (Quiggin [21]), in the Rank Dependent Expected Utility (RDEU) model.
Alain Chateauneuf +2 more
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International Journal of Approximate Reasoning, 2013 We give an alternative and direct approach to the Choquet integral representability of a comonotonically additive, bounded, monotone functional I defined on the space of all continuous, real-valued functions on a locally compact space X with compact support and on the space of all continuous, real-valued functions on X vanishing at infinity.
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Convergence of Archimedean Copulas [PDF]
Convergence of a sequence of bivariate Archimedean copulas to another Archimedean copula or to the comonotone copula is shown to be equivalent with convergence of the corresponding sequence of Kendall distribution functions.No extra differentiability ...
Charpentier, A., Segers, J.J.J.
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Optimal risk sharing with background risk. [PDF]
This paper examines qualitative properties of efficient insurance contracts in the presence of background risk. In order to get results for all strictly risk-averse expected utility maximizers, the concept of “stochastic increasingness” is used ...
Dana, Rose-Anne, Scarsini, Marco
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Pareto efficiency for the concave order and multivariate comonotonicity [PDF]
This paper studies 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 (1994), that efficiency is characterized by a comonotonicity ...
Carlier, Guillaume +2 more
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Representation of comonotonically additive functional
Representation of comonotonically additive functionalidentifier:oai:t2r2.star.titech.ac.jp ...
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Differentiability properties of Rank-Linear Utilities. [PDF]
We study the differentiability properties of concave functionals defined as integrals of the quantile. These functionals generalize the rank dependent expected utility and are called rank-linear utilities in decision theory.
Carlier, Guillaume
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The present review of (financial) risk measures, prepared for the Encyclopaedia of Actuarial Science, first distinguishes two conceptions of risk. Risk of the first kind conceives risk as the magnitude of (one- or two-sided) deviations from a target ...
Albrecht, Peter
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