Proceedings of the Korean Institute of Intelligent Systems Conference (한국지능시스템학회:학술대회논문집)
- 2007.04a
- /
- Pages.209-212
- /
- 2007
Interval-valued Choquet Integrals and applications in pricing risks
구간치 쇼케이적분과 위험률 가격 측정에서의 응용
-
Jang, Lee-Chae
(Dept. of Mathematics and Computer Science, Konkuk University)
-
장이채
(건국대학교)
- Published : 2007.04.20
Abstract
Non-additive measures and their corresponding Choquet integrals are very useful tools which are used in both insurance and financial markets. In both markets, it is important to to update prices to account for additional information. The update price is represented by the Choquet integral with respect to the conditioned non-additive measure. In this paper, we consider a price functional H on interval-valued risks defined by interval-valued Choquet integral with respect to a non-additive measure. In particular, we prove that if an interval-valued pricing functional H satisfies the properties of monotonicity, comonotonic additivity, and continuity, then there exists an two non-additive measures