With the development of fuzzy measure theory, the integral inequalities based on Sugeno integral are extensively investigated. We concern on the inequalities of Choquuet integral. The main purpose of this paper is to ...With the development of fuzzy measure theory, the integral inequalities based on Sugeno integral are extensively investigated. We concern on the inequalities of Choquuet integral. The main purpose of this paper is to prove the H?lder inequality for any arbitrary fuzzy measure-based Choquet integral whenever any two of these integrated functions f, g and h are comonotone, and there are three weights. Then we prove Minkowski inequality and Lyapunov inequality for Choquet integral. Moreover, when any two of these integrated functions f1, f2, …, fn are comonotone, we also obtain the Hölder inequality, Minkowski inequality and Lyapunov inequality hold for Choquet integral.展开更多
In this paper, by an axiomatic approach, we propose the concepts of comonotonic subadditivity and comonotonic convex risk measures for portfolios, which are extensions of the ones introduced by Song and Yan （2006）. ...In this paper, by an axiomatic approach, we propose the concepts of comonotonic subadditivity and comonotonic convex risk measures for portfolios, which are extensions of the ones introduced by Song and Yan （2006）. Representation results for these new introduced risk measures for portfolios are given in terms of Choquet integrals. Links of these newly introduced risk measures to multi-period comonotonic risk measures are represented. Finally, applications of the newly introduced comonotonic coherent risk measures to capital allocations are provided.展开更多
This article gives the representations of two types of real functionals on Z∞(Ω,F) or L∞(Ω,F,P) in terms of Choquet integrals. These functionals are comonotonically subadditive and comonotonically convex, respecti...This article gives the representations of two types of real functionals on Z∞(Ω,F) or L∞(Ω,F,P) in terms of Choquet integrals. These functionals are comonotonically subadditive and comonotonically convex, respectively.展开更多
基金supported by the National Natural Science Foundation of China(no.51374199).
文摘With the development of fuzzy measure theory, the integral inequalities based on Sugeno integral are extensively investigated. We concern on the inequalities of Choquuet integral. The main purpose of this paper is to prove the H?lder inequality for any arbitrary fuzzy measure-based Choquet integral whenever any two of these integrated functions f, g and h are comonotone, and there are three weights. Then we prove Minkowski inequality and Lyapunov inequality for Choquet integral. Moreover, when any two of these integrated functions f1, f2, …, fn are comonotone, we also obtain the Hölder inequality, Minkowski inequality and Lyapunov inequality hold for Choquet integral.
基金Supported by the National Natural Science Foundation of China(11371284)the Natural Science Foundation of Henan Province(14B110037)
文摘In this paper, by an axiomatic approach, we propose the concepts of comonotonic subadditivity and comonotonic convex risk measures for portfolios, which are extensions of the ones introduced by Song and Yan （2006）. Representation results for these new introduced risk measures for portfolios are given in terms of Choquet integrals. Links of these newly introduced risk measures to multi-period comonotonic risk measures are represented. Finally, applications of the newly introduced comonotonic coherent risk measures to capital allocations are provided.
基金This work was supported by the National Natural Science Foundation of China (Grant No. 10571167).
文摘This article gives the representations of two types of real functionals on Z∞(Ω,F) or L∞(Ω,F,P) in terms of Choquet integrals. These functionals are comonotonically subadditive and comonotonically convex, respectively.
