UGC Approved Journal no 63975(19)

ISSN: 2349-5162 | ESTD Year : 2014
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Published in:

Volume 5 Issue 5
May-2018
eISSN: 2349-5162

UGC and ISSN approved 7.95 impact factor UGC Approved Journal no 63975

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Published Paper ID:
JETIR1805936


Registration ID:
303602

Page Number

1161-1163

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Title

REPRESENTATION OF RISK MEASURES AS CHOQUET INTEGRALS

Abstract

In this paper we present necessary and sufficient conditions for the representability of a coherent risk measure ρ on Ω (Ω, F, P) as the Choquet integral. The main objective is to study coherent risk measures which satisfy additionally the axioms of dilatation monotone and comonotonic additivity.

Key Words

Choquet integral, comonotonic additive, comonotone, Fatou property, coherent risk measure, dilatation monotone.

Cite This Article

"REPRESENTATION OF RISK MEASURES AS CHOQUET INTEGRALS", International Journal of Emerging Technologies and Innovative Research (www.jetir.org), ISSN:2349-5162, Vol.5, Issue 5, page no.1161-1163, May-2018, Available :http://www.jetir.org/papers/JETIR1805936.pdf

ISSN


2349-5162 | Impact Factor 7.95 Calculate by Google Scholar

An International Scholarly Open Access Journal, Peer-Reviewed, Refereed Journal Impact Factor 7.95 Calculate by Google Scholar and Semantic Scholar | AI-Powered Research Tool, Multidisciplinary, Monthly, Multilanguage Journal Indexing in All Major Database & Metadata, Citation Generator

Cite This Article

"REPRESENTATION OF RISK MEASURES AS CHOQUET INTEGRALS", International Journal of Emerging Technologies and Innovative Research (www.jetir.org | UGC and issn Approved), ISSN:2349-5162, Vol.5, Issue 5, page no. pp1161-1163, May-2018, Available at : http://www.jetir.org/papers/JETIR1805936.pdf

Publication Details

Published Paper ID: JETIR1805936
Registration ID: 303602
Published In: Volume 5 | Issue 5 | Year May-2018
DOI (Digital Object Identifier):
Page No: 1161-1163
Country: Munger, Bihar, India .
Area: Mathematics
ISSN Number: 2349-5162
Publisher: IJ Publication
Published Paper URL :: https://www.jetir.org/view?paper=JETIR1805936
Published Paper PDF: https://www.jetir.org/papers/JETIR1805936

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