Exact capacities and star shaped distorted probabilities

Zaier Aouani ()
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Zaier Aouani: CERMSEM

Cahiers de la Maison des Sciences Economiques from Université Panthéon-Sorbonne (Paris 1)

Abstract: We are interested in this work, in capacities which are deformations of probability i.e. v = f o P, we characterize respectively balanced, totally balanced, exact and convex capacities by properties concerning the probability transformation function f. And we give the explicit expression, in the case of a convex capacity v = f o P, of a probability in the core of v which coincides with v on a given finite chain of elements of the algebra A. We end this work by two notions of increase in risk recently studied in [4] and connected with star-shaped functions and with an application to the optimality of the deductible insurance studied in [14]

Keywords: Cooperative game; capacity; balanced; exact; core; increase in risk (search for similar items in EconPapers)
JEL-codes: C71 D80 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2004-12
New Economics Papers: this item is included in nep-gth
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ftp://mse.univ-paris1.fr/pub/mse/cahiers2004/B04117.pdf (application/pdf)

Related works:
Journal Article: Exact capacities and star-shaped distorted probabilities (2008)
Working Paper: Exact Capacities and Star-Shaped Distorted Probabilities (2008)
Working Paper: Exact Capacities and Star-Shaped Distorted Probabilities (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:wpsorb:b04117

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