All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Previous Page 5

Displaying 81 – 100 of 100

Showing per page

Seven Proofs for the Subadditivity of Expected Shortfall

Paul Embrechts, Ruodu Wang (2015)

Dependence Modeling

Subadditivity is the key property which distinguishes the popular risk measures Value-at-Risk and Expected Shortfall (ES). In this paper we offer seven proofs of the subadditivity of ES, some found in the literature and some not. One of the main objectives of this paper is to provide a general guideline for instructors to teach the subadditivity of ES in a course. We discuss the merits and suggest appropriate contexts for each proof.With different proofs, different important properties of ES are...

Simple topological measures and a lifting problem

Finn F. Knudsen (2008)

Fundamenta Mathematicae

We state a certain lifting conjecture and prove it in the case of a torus. From this result we are able to construct a connected dense subset of the space of intrinsic simple topological measures on the torus, consisting of push forwards of compactly supported generalized point-measures on the universal covering space. Combining this result with an observation of Johansen and Rustad, we conclude that the space of simple topological measures on a torus is connected.

The Denjoy extension of the Riemann and McShane integrals

Jae Myung Park (2000)

Czechoslovak Mathematical Journal

In this paper we study the Denjoy-Riemann and Denjoy-McShane integrals of functions mapping an interval a , b into a Banach space X . It is shown that a Denjoy-Bochner integrable function on a , b is Denjoy-Riemann integrable on a , b , that a Denjoy-Riemann integrable function on a , b is Denjoy-McShane integrable on a , b and that a Denjoy-McShane integrable function on a , b is Denjoy-Pettis integrable on a , b . In addition, it is shown that for spaces that do not contain a copy of c 0 , a measurable Denjoy-McShane integrable...

The (sub/super)additivity assertion of Choquet

Heinz König (2003)

Studia Mathematica

The assertion in question comes from the short final section in Theory of capacities of Choquet (1953/54), in connection with his prototype of the subsequent Choquet integral. The problem was whether and when this operation is additive. Choquet had the much more abstract idea that all functionals in a certain wide class must be subadditive, and similarly for superadditivity. His treatment of this point was more like an outline, and his proof limited to a rather narrow special case. Thus the proper...

The symmetric Choquet integral with respect to Riesz-space-valued capacities

Antonio Boccuto, Beloslav Riečan (2008)

Czechoslovak Mathematical Journal

A definition of “Šipoš integral” is given, similarly to [3],[5],[10], for real-valued functions and with respect to Dedekind complete Riesz-space-valued “capacities”. A comparison of Choquet and Šipoš-type integrals is given, and some fundamental properties and some convergence theorems for the Šipoš integral are proved.

Varadhan's theorem for capacities

Bart Gerritse (1996)

Commentationes Mathematicae Universitatis Carolinae

Varadhan's integration theorem, one of the corner stones of large-deviation theory, is generalized to the context of capacities. The theorem appears valid for any integral that obeys four linearity properties. We introduce a collection of integrals that have these properties. Of one of them, known as the Choquet integral, some continuity properties are established as well.

Currently displaying 81 – 100 of 100

Previous Page 5