On some risk measures

Michał Boczek
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Michał Boczek: Politechnika Łódzka

Collegium of Economic Analysis Annals, 2015, issue 37, 323-338

Abstract: The aim of this paper is to introduce functionals defined for some families of random variables by using pseudomeasures, also known as monotone measures or fuzzy measures. These functionals can become an alternative tool for measuring risk. We will give their graphical interpretation and selected properties.

Keywords: generalised Sugeno integral; Choquet integral; risk measure; non-additive measure (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:sgh:annals:i:37:y:2015:p:323-338

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