Convex Imprecise Previsions for Risk Measurement
Renato Pelessoni () and
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Paolo Vicig: University of Trieste
Risk and Insurance from University Library of Munich, Germany
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)
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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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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpri:0309001
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