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Robust distortion risk measures
Mathematical Finance, Volume 34, Issue 3, Page 774-818, July 2024.Abstract The robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance in making well‐informed decisions. In this paper, we quantify, for the class of distortion risk measures with an absolutely continuous distortion function, its robustness to distributional uncertainty by deriving ...
Carole Bernard +2 more
wiley +1 more source
The Choquet integral as Lebesgue integral and related inequalities [PDF]
, 2010 summary:The integral inequalities known for the Lebesgue integral are discussed in the framework of the Choquet integral. While the Jensen inequality was known to be valid for the Choquet integral without any additional constraints, this is not more true
Li, Jun, Pap, Endre, Mesiar, Radko
core +1 more source
Applied Computational Intelligence and Soft Computing, Volume 2024, Issue 1, 2024.Blockchain is a distributed system where transactions are recorded on blocks. The blocks are linked with previous blocks creating a chain of blocks that ensures the integrity of the blockchain. Throughput operates as a pivotal performance indicator in blockchain contributing to its popularity among organizations and individual users.
Muhammad Hasnain +7 more
wiley +1 more source
A Discrete Choquet Integral for Ordered Systems [PDF]
A model for a Choquet integral for arbitrary finite set systems is presented. The model includes in particular the classical model on the system of all subsets of a finite set.
Ulrich Faigle, Michel Grabisch
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Modelling fraud detection by attack trees and Choquet integral [PDF]
Modelling an attack tree is basically a matter of associating a logical ÒndÓand a logical ÒrÓ but in most of real world applications related to fraud management the Ònd/orÓlogic is not adequate to effectively represent the relationship between a parent ...
Silvio Giove +2 more
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A characterization of the 2-additive Choquet integral through cardinal information [PDF]
In the context of multiple criteria decision analysis, we present the necessary and sufficient conditions to represent a cardinal preferential information by the Choquet integral w.r.t. a 2-additive capacity.
Michel Grabisch +2 more
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Autocontinuity and convergence theorems for the Choquet integral [PDF]
Our aim is to provide some convergence theorems for the Choquet integral with respect to various notions of convergence. For instance, the dominated convergence theorem for almost uniform convergence is related to autocontinuous set functions ...
Yann Rébillé
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Choquet integral analytic inequalities [PDF]
, 2020 Based on an amazing result of Sugeno [15], we are able to transfer classic analytic integral inequalities to Choquet integral setting. We give Choquet integral inequalities of the following types: fractional-Polya, Ostrowski, fractional Ostrowski ...
Anastassiou, George A.
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On non-monotonic Choquet integrals as aggregation functions [PDF]
This paper deals with non-monotonic Choquet integral, a generalization of the regular Choquet integral. The discrete non-monotonic Choquet integral is considered under the viewpoint of aggregation.
Silvio Giove, Marta Cardin
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An empirical study of statistical properties of Choquet and Sugeno integrals [PDF]
This paper investigates the statistical properties of the Choquet and Sugeno integrals, used as multiattribute models. The investigation is done on an empirical basis, and focuses on two topics: the distribution of the output of these integrals when the ...
Eric Raufaste, Michel Grabisch
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