On Choquet Integral Risk Measures

被引：0
|
作者：
Nguyen, Hung T. [1 ,2 ]
Sriboonchitta, Songsak [2 ]
机构：
[1] New Mexico State Univ, Dept Math Sci, Las Cruces, NM 88003 USA
[2] Chiang Mai Univ, Fac Econ, Chiang Mai 50200, Thailand
来源：
INTEGRATED UNCERTAINTY MANAGEMENT AND APPLICATIONS | 2010年 / 68卷
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D O I：
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中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
This paper aims at presenting the state-of-the-art of Choquet integral in quantifying the uncertainty in financial economics. Not only Choquet integral becomes a suitable model for defining financial coherent risk measures in the investment context, it seems also possible to use Choquet integral calculations as a means for asset pricing. We address also utility aspect of Choquet integral risk measures.
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页码：15 / +
页数：3
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