Results 1 to 10 of about 90 (78)
Strong Comonotonic Additive Systemic Risk Measures
AxiomsIn this paper, we propose a new class of systemic risk measures, which we refer to as strong comonotonic additive systemic risk measures. First, we introduce the notion of strong comonotonic additive systemic risk measures by proposing new axioms. Second,
Yijun Hu
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A comonotonic image of independence for additive risk measures [PDF]
Insurance: Mathematics and Economics, 2004 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Marc J Goovaerts +2 more
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Discrete Integrals Based on Comonotonic Modularity
Axioms, 2013 It is known that several discrete integrals, including the Choquet and Sugeno integrals, as well as some of their generalizations, are comonotonically modular functions.
MIGUEL Couceiro +2 more
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On additivity of tail comonotonic risks
Scandinavian Actuarial Journal, 2019 ABSTRACTAs perceived from daily experience together with numerous empirical studies, the multivariate risks demonstrate a strong coherence in the extremal dependence structure especially over the c...
Ka Chun Cheung, Hok Kan Ling, Qihe Tang
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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.
Simone Cerreia-Vioglio +2 more
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The limitations of comonotonic additive risk measures: a literature review
Decisions in Economics and FinanceRisk measures satisfying the axiom of comonotonic additivity are extensively studied, arguably because of the plethora of results indicating interesting aspects of such risk measures. Recent research, however, has shown that this axiom is incompatible with central properties in specific contexts.
Samuel Solgon Santos +2 more
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A note on comonotonic additivity [PDF]
Glasgow Mathematical Journal, 1996 AbstractThe axiom of comonotonic independence for a preference ordering was introduced by Schmeidler [9]. It leads to the comonotonic additivity for the functional representing the preference ordering, which is necessarily a Choquet integral.The aim of this paper is to illuminate the concepts of comonotonicity, comonotonic independence and comonotonic ...
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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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Comonotonic additive operators and their representations [PDF]
Glasgow Mathematical Journal, 1999 This paper is a continuation of the research initiated with \textit{J. M. Parker} [Glas. Math. J. 38, No. 2, 199-205 (1996; Zbl 0969.91002)]. The author constructs a vector-valued generalized Choquet integral and uses it in finding integral representations for comonotone additive operators.
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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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