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Conditional Submodular Coherent Risk Measures

  • Giulianella Coletti
  • Davide PetturitiEmail author
  • Barbara Vantaggi
Conference paper
Part of the Communications in Computer and Information Science book series (CCIS, volume 854)

Abstract

A family of conditional risk measures is introduced by considering a single period financial market, relying on a notion of conditioning for submodular capacities, which generalizes that introduced by Dempster. The resulting measures are expressed as discounted conditional Choquet expected values, take into account ambiguity towards uncertainty and allow for conditioning to “null” events. We also provide a characterisation of consistence of a partial assessment with a conditional submodular coherent risk measure. The latter amounts to test the solvability of a suitable sequence of linear systems.

Keywords

Coherent risk measure Conditional Choquet expected value Conditional submodular capacity 

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  • Giulianella Coletti
    • 1
  • Davide Petturiti
    • 2
    Email author
  • Barbara Vantaggi
    • 3
  1. 1.Dip. Matematica e InformaticaUniversity of PerugiaPerugiaItaly
  2. 2.Dip. EconomiaUniversity of PerugiaPerugiaItaly
  3. 3.Dip. S.B.A.I.“La Sapienza” University of RomeRomeItaly

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