Envelope Theorems and Dilation with Convex Conditional Previsions

This paper focuses on establishing envelope theorems for convex conditional lower previsions, a recently investigated class of imprecise previsions larger than coherent imprecise conditional previsions. It is in particular discussed how the various theorems can be employed in assessing convex previsions. We also consider the problem of dilation for these kinds of imprecise previsions, and point out the role of convex previsions in measuring conditional risks. Keywords. Convex Prevision, Envelope Theorem, Dilation, Convex Risk Measure.

• Type: Conference
• Year: 2005
• Where: ISIPTA
• Authors: Renato Pelessoni, Paolo Vicig
• Keywords: Convex Prevision, Envelope Theorem, Imprecise Previsions, ISIPTA 2005, Mathematics