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Coherent Risk Measures and Upper Previsions [PDF]

, 2000
In this paper coherent risk measures and other currently used risk measures, notably Value-at-Risk (VaR), are studied from the perspective of the theory of coherent imprecise previsions. We introduce the notion of coherent risk measure defined on an arbitrary set of risks, showing that it can be considered a special case of coherent upper prevision. We
PELESSONI, RENATO, VICIG, PAOLO
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coherence
axioms other general questions in probability
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imprecise probabilities
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conditional prevision
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Probability Inequalities with Imprecise Previsions

We investigate how various well known probability inequalities extend to lower and upper previsions. Our focus is especially on Markov’s, Bhatia-Davis, Jensen’s and Cantelli’s inequalities. In all such cases, imprecise versions of these inequalities are available even requiring the weak consistency notion of 2-coherence, which implies that they obtain ...
Pelessoni, Renato, Vicig, Paolo
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Previsions i estocs

1993
Ajust amb tendència lineal i estacionalitat. Ajust de corbes de tendència amb saturació. L'estrany cas del tracking signal. Una mirada a la teoria clàssica de la gestió d'estocs. El problema ELSP. Demanda variable i termini de lliurament variable. Mètode heurístic de càlcul dels paràmetres de gestió d'estocs. Relació entre H(s) i y(s).
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previse, v.²

2023
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Lower Previsions

2014
Matthias C.M. Troffaes, Gert de Cooman
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previse, v.¹

2023
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Goldstein's dilemma: require countable additivity or abandon “prevision of prevision”