Title :
Risk Measure via Choquet Integral
Author :
Zhang, Defei ; He, Ping
Author_Institution :
Dept. of Math., Honghe Univ., Mengzi, China
Abstract :
In this paper, we obtain the sufficient condition for a risk measure defined by Choquet integral is not only coherent risk measure but also convex risk measure. Some properties about coherent (convex) risk measures are investigated and Jensen´s inequality and dominated convergence theorem for generalized risk measure are presented.
Keywords :
finance; integral equations; risk management; Choquet integral; Jensen´s inequality; convex risk measure; dominated convergence theorem; Convergence; Electronic mail; Extraterrestrial measurements; Finance; Integral equations; Optimization; Choquet integral; capacity; risk Measure;
Conference_Titel :
Computational Sciences and Optimization (CSO), 2011 Fourth International Joint Conference on
Conference_Location :
Yunnan
Print_ISBN :
978-1-4244-9712-6
Electronic_ISBN :
978-0-7695-4335-2
DOI :
10.1109/CSO.2011.229
