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Convex Imprecise Previsions for Risk Measurement

Renato Pelessoni () and Paolo Vicig
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Paolo Vicig: University of Trieste

Risk and Insurance from EconWPA

Abstract: In this paper we introduce convex imprecise previsions as a special class of imprecise previsions, showing that they retain or generalise most of the relevant properties of coherent imprecise previsions but are not necessarily positively homogeneous. The broader class of weakly convex imprecise previsions is also studied and its fundamental properties are demonstrated. The notions of weak convexity and convexity are then applied to risk measurement, leading to a more general definition of convex risk measure than the one already known in risk measurement literature.

Keywords: imprecise previsions; risk measures; weakly convex imprecise previsions; convex imprecise previsions (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-rmg
Date: 2003-09-30
Note: Type of Document - Pdf; prepared on MikTeX; pages: 23. A more complete and updated version has been published in Reliable Computing, vol. 9, issue 6, December 2003
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