{"title":"Risk Measure via Choquet Integral","authors":"Defei Zhang, P. He","doi":"10.1109/CSO.2011.229","DOIUrl":null,"url":null,"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.","PeriodicalId":210815,"journal":{"name":"2011 Fourth International Joint Conference on Computational Sciences and Optimization","volume":"20 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2011 Fourth International Joint Conference on Computational Sciences and Optimization","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CSO.2011.229","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
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.