Although financial risk measurement is a largely investigated research area, its relationship with imprecise probabilities has been mostly overlooked. However, risk measures can b...
In financial risk management, a coherent risk measure equals the maximum expected loss under several different probability measures, which are analogous to systems in ranking and ...
We explore generalizations of the pari-mutuel model (PMM), a formalization of an intuitive way of assessing an upper probability from a precise one. We discuss a naive extension o...
According to widely accepted guidelines for self-regulation, the capital requirements of a bank should relate to the level of risk with respect to three different categories. Amon...
Alessandro Antonucci, Alberto Piatti, Marco Zaffal...
In this paper we study two classes of imprecise previsions, which we termed convex and centered convex previsions, in the framework of Walley’s theory of imprecise previsions. W...