de Cooman, Gert and Troffaes, Matthias and Miranda, Enrique (2008) 'n-Monotone exact functionals.', Journal of mathematical analysis and applications., 347 (1). pp. 143-156.
Abstract
We study n-monotone functionals, which constitute a generalisation of n-monotone set functions. We investigate their relation to the concepts of exactness and natural extension, which generalise coherence and natural extension in the behavioural theory of imprecise probabilities. We improve upon a number of results in the literature, and prove among other things a representation result for exact n-monotone functionals in terms of Choquet integrals.
| Item Type: | Article |
|---|---|
| Keywords: | n-Monotonicity, Coherence, Natural extension, Choquet integral, Comonotone additivity, Exact functional, Lower prevision, Risk measure |
| Full text: | (AM) Accepted Manuscript Download PDF (226Kb) |
| Status: | Peer-reviewed |
| Publisher Web site: | http://dx.doi.org/10.1016/j.jmaa.2008.05.071 |
| Publisher statement: | NOTICE: this is the author’s version of a work that was accepted for publication in Journal of mathematical analysis and applications. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of mathematical analysis and applications, 347/1, 2008, 10.1016/j.jmaa.2008.05.071 |
| Date accepted: | No date available |
| Date deposited: | 16 January 2015 |
| Date of first online publication: | November 2008 |
| Date first made open access: | No date available |
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