• DocumentCode
    2348428
  • Title

    Risk Measure via Choquet Integral

  • Author

    Zhang, Defei ; He, Ping

  • Author_Institution
    Dept. of Math., Honghe Univ., Mengzi, China
  • fYear
    2011
  • fDate
    15-19 April 2011
  • Firstpage
    1236
  • Lastpage
    1239
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • 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
  • Type

    conf

  • DOI
    10.1109/CSO.2011.229
  • Filename
    5957876
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2348428