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On the Minkowski-Hölder type inequalities for generalized Sugeno integrals with an application

Michał BoczekMarek Kaluszka — 2016


In this paper, we use a new method to obtain the necessary and sufficient condition guaranteeing the validity of the Minkowski-Hölder type inequality for the generalized upper Sugeno integral in the case of functions belonging to a wider class than the comonotone functions. As a by-product, we show that the Minkowski type inequality for seminormed fuzzy integral presented by Daraby and Ghadimi [11] is not true. Next, we study the Minkowski-Hölder inequality for the lower Sugeno integral and the...

On risk minimizing strategies for default-free bond portfolio immunization

Marek KałuszkaAlina Kondratiuk-Janyska — 2004

Applicationes Mathematicae

This paper presents new strategies for bond portfolio immunization which combine the time-honored duration with the M-Absolute measure defined by Nawalkha and Chambers (1996). The innovation consists in considering an average shock in a fixed time period as a random variable with mean μ or, alternatively, with normal distribution with mean μ and variance σ². Additionally, an extension to arbitrage free models of polynomial shocks is provided. Moreover, the Fisher and Weil model, the M-Absolute strategy...

Generalized duration measures in a risk immunization setting. Implementation of the Heath-Jarrow-Morton model

Alina Kondratiuk-JanyskaMarek Kałuszka — 2006

Applicationes Mathematicae

The aim of this paper is to set different lower bounds on the change of the expected net cash flow value at time H > 0 in general term structure models, referring to the studies of Fong and Vasiček (1984), Nawalkha and Chambers (1996), and Balbás and Ibáñez (1998) among others. New immunization strategies are derived with new risk measures: generalized duration and generalized M-absolute of Nawalkha and Chambers, and exponential risk measure. Furthermore, examples of specific one-factor HJM models...

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