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2018 | OriginalPaper | Buchkapitel

Conditional Submodular Coherent Risk Measures

verfasst von : Giulianella Coletti, Davide Petturiti, Barbara Vantaggi

Erschienen in: Information Processing and Management of Uncertainty in Knowledge-Based Systems. Theory and Foundations

Verlag: Springer International Publishing

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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.

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Titel: Conditional Submodular Coherent Risk Measures
verfasst von: Giulianella Coletti
Davide Petturiti
Barbara Vantaggi
Verlag: Springer International Publishing
Buch: Information Processing and Management of Uncertainty in Knowledge-Based Systems. Theory and Foundations
Print ISBN: 978-3-319-91475-6

Electronic ISBN: 978-3-319-91476-3

Copyright-Jahr: 2018
DOI: https://doi.org/10.1007/978-3-319-91476-3_20

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