We present necessary and sufficient conditions for the representabi lity of a coherent risk measure on $L^{\infty}_{+}(\Omega , {\cal F}, \Bbb P )$ as the Choquet integral with respect to a concave probability distortion.
On the Representability of Coherent Risk Measures as Choquet Integrals
BOSI, GIANNI;
2010-01-01
Abstract
We present necessary and sufficient conditions for the representabi lity of a coherent risk measure on $L^{\infty}_{+}(\Omega , {\cal F}, \Bbb P )$ as the Choquet integral with respect to a concave probability distortion.File in questo prodotto:
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