Bounds on Choquet risk measures in finite product spaces with ambiguous marginals
Work
Year: 2023
Type: article
Abstract: We investigate the problem of finding upper and lower bounds for a Choquet risk measure of a nonlinear function of two risk factors, when the marginal distributions of the risk factors are ambiguous ... more
Source: Statistics & Risk Modeling
Institution University of Waterloo
Cites: 41
Cited by: 1
Related to: 10
FWCI: 0.372
Citation percentile (by year/subfield): 54.55
Field: Decision Sciences
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: green
Funders Natural Sciences and Engineering Research Council of Canada, Natural Sciences and Engineering Research Council of Canada
Grant IDS 2018-03961, 2017-04220