Risk Measures and Comonotonicity: A Review
β Scribed by Dhaene, J.; Vanduffel, S.; Goovaerts, M. J.; Kaas, R.; Tang, Q.; Vyncke, D.
- Book ID
- 115513454
- Publisher
- Taylor and Francis Group
- Year
- 2006
- Tongue
- English
- Weight
- 247 KB
- Volume
- 22
- Category
- Article
- ISSN
- 1532-6349
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
This paper discusses the functional I deΓΏned on the class of continuous functions, which is comonotonically additive and monotone. The notion of regular fuzzy measure is proposed and the uniqueness theorem of regular fuzzy measure is shown. It is also shown that I can be represented by the di erence
## Abstract Proper scoring rules serve to measure subjective degrees of belief. Traditional proper scoring rules are based on the assumption of expected value maximization. There are, however, many deviations from expected value, primarily due to risk aversion. Correcting techniques have been propo