A family of conditional risk measures is introduced by considering a single period financial market, relying on a notion of conditioning for submodular capacities, which generalizes that introduced by Dempster. The resulting measures are expressed as discounted conditional Choquet expected values, take into account ambiguity towards uncertainty and allow for conditioning to “null” events. We also provide a characterisation of consistence of a partial assessment with a conditional submodular coherent risk measure. The latter amounts to test the solvability of a suitable sequence of linear systems.
Conditional submodular coherent risk measures / Coletti, G.; Petturiti, D.; Vantaggi, B.. - 854:(2018), pp. 239-250. ( 17th International Conference on Information Processing and Management of Uncertainty in Knowledge-Based Systems, IPMU 2018 Cadiz, Spain ) [10.1007/978-3-319-91476-3_20].
Conditional submodular coherent risk measures
Petturiti D.
;Vantaggi B.
2018
Abstract
A family of conditional risk measures is introduced by considering a single period financial market, relying on a notion of conditioning for submodular capacities, which generalizes that introduced by Dempster. The resulting measures are expressed as discounted conditional Choquet expected values, take into account ambiguity towards uncertainty and allow for conditioning to “null” events. We also provide a characterisation of consistence of a partial assessment with a conditional submodular coherent risk measure. The latter amounts to test the solvability of a suitable sequence of linear systems.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
