Results 61 to 70 of about 90 (78)

Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures

Insurance: Mathematics and Economics, 2012
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Hua, Lei, Joe, Harry
openaire   +2 more sources

GENERALIZED COMONOTONICALLY ADDITIVE OPERATORS: REPRESENTATIONS BY CHOQUET INTEGRALS

International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 2002
Operators which behave (sub-, super-) additive on comonotonic functions occur quite naturally in many contexts, e.g. in decision theory, artificial intelligence, and fuzzy set theory. In the present paper we define comonotonicity for Riesz spaces with the principal projection property and obtain integral representations (in terms of Bochner integrals)
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Representation of Comonotonically Additive Functional by Choquet Integral

2000
This paper discusses the functional I defined on the class of continuous functions K, that is comonotonically additive and monotone. The extension of the domain of the functional and the extension I* of the functional are shown. It is discussed that the condition under which the functional I* can be represented by one Choquet integral.
Yasuo Narukawa, Toshiaki Murofushi, Michio Sugeno   +2 more
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The comonotonically additive functional on the class of continuous functions with compact support

Proceedings of 6th International Fuzzy Systems Conference, 2002
This paper discusses the functional I defined on the class of continuous functions K, which is comonotonically additive and monotone. It is shown that the functional I can be represented by the difference of two Choquet integrals with respect to regular fuzzy measures when the universal set X is a locally compact Hausdorff space, and that the ...
Y. Narukawa, T. Murofushi, M. Sugeno
openaire   +1 more source

Riesz Type Integral Representations for Comonotonically Additive Functionals

2011
The Daniell-Stone type representation theorem of Greco leads us to another proof and an improvement of the Riesz type representation theorem of Sugeno, Narukawa, and Murofushi for comonotonically additive, monotone functionals.
openaire   +1 more source

A multivariate Poisson model based on comonotonic shocks

International Statistical Review, 2021
Juliana Schulz, Christian Genest
exaly  

On the comonotonic-★-property for Sugeno integral

Applied Mathematics and Computation, 2009
Yao Ouyang, Radko Mesiar
exaly  

Comonotonic processes

Insurance: Mathematics and Economics, 2003
Elyes Jouini, Clotilde Napp
exaly  

Risk measures with comonotonic subadditivity or convexity on product spaces

Applied Mathematics, 2015
Yi-Jun Hu, Hu Yi-Jun
exaly  

Comonotonic stochastic processes and generalized mean-square stochastic integral with applications

Aequationes Mathematicae, 2016
Hamzeh Agahi, Milad Yadollahzadeh, Agahi Hamzeh   +2 more
exaly