Conditional Submodular Coherent Risk Measures. Coletti, G., Petturiti, D., & Vantaggi, B. 2018.
doi  abstract   bibtex   
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
@conference{
	11391_1434717,
	author = {Coletti, Giulianella and Petturiti, Davide and Vantaggi, Barbara},
	title = {Conditional Submodular Coherent Risk Measures.},
	year = {2018},
	publisher = {Springer, Cham},
	volume = {854},
	booktitle = {Information Processing and Management of Uncertainty in Knowledge-Based Systems. Theory and Foundations. IPMU 2018.},
	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},
	doi = {10.1007/978-3-319-91476-3_20},	
	pages = {239--250}
}

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