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논문 상세정보

구간치 쇼케이적분과 위험률 가격 측정에서의 응용

Interval-valued Choquet integrals and applications in pricing risks

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 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 ${\mu}1,\;{\mu}2$ such that it is represented by interval-valued choquet integral on interval-valued risks.

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참고문헌 (15)

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  9. L.C. Jang, Some characterizations of interval- valued Choquet price functionals, J. of Fuzzy Logic and Intelligent Systems 16(2) (2006), 247-251 
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  11. L.C. Jang, T. Kim and J.D. Jeon, On set-valued Choquet integrals and convergence theorems (II), Bull. Korean Math. Soc. 40(1) (2003), 139-147 
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이 논문을 인용한 문헌 (4)

  1. Jang, Lee-Chae ; Kim, Tae-Kyun ; Kim, Young-Hee 2008. "Choquet weak convergence for interval-valued capacity functionals of random sets" 한국지능시스템학회 논문지 = Journal of Korean institute of intelligent systems, 18(6): 837~841 
  2. Jang, Lee-Chae ; Kim, Tae-Kyun 2009. "A study on interval-valued necessity measures through the Choquet integral criterian" 한국지능시스템학회 논문지 = Journal of Korean institute of intelligent systems, 19(3): 350~354 
  3. 2009. "" International journal of fuzzy logic and intelligent systems : IJFIS, 9(2): 71~75 
  4. Jang, Lee-Chae ; Kim, Tae-Kyun ; Kim, Hyun-Mee 2010. "A note on Linguistic quantifiers modeled by Sugeno integral with respect to an interval-valued fuzzy measures" 한국지능시스템학회 논문지 = Journal of Korean institute of intelligent systems, 20(1): 1~6 

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