Characterization, Robustness, and Aggregation of Signed Choquet Integrals

This article contains various results on a class of nonmonotone, law-invariant risk functionals called the signed Choquet integrals. A functional characterization via comonotonic additivity is established along with some theoretical properties, including six equivalent conditions for a signed Choquet integral to be convex. We proceed to address two practical issues currently popular in risk management, namely robustness (continuity) issues and risk aggregation with dependence uncertainty, for signed Choquet integrals. Our results generalize in several directions those in the literature of risk functionals. From the results obtained in this paper, we see that many profound and elegant mathematical results in the theory of risk measures hold for the general class of signed Choquet integrals; thus, they do not rely on the assumption of monotonicity.

Comonotonic Random Sets and Its Additivity of Choquet Integrals

In this paper, we propose a concept of comonotonicity of random sets, which is a set inclusion relation and generalized notion of comonotonicity of real-valued random variables. Then we study some elementary properties of comonotonicity of random sets and comonotonic additivity of real-valued Choquet integral for random set mappings. After this, some other properties of this kind of real-valued Choquet integral for random set mappings are characterized by the comonotonic additivity, for instance, translation invariance, sup-norm continuous, positive homogeneity.

Fubini-Like Theorem of Real-Valued Choquet Integrals for Set-Valued Mappings

The purpose of this paper is to establish a Fubini-like theorem of real-valued Choquet integrals for set-valued mappings in the frame of capacity theory. To this, we introduce the comonotonic random sets and slice-comonotonic set-valued mappings, which to make good use of the comonotonic additivity of Choquet integrals.

A note on comonotonic additivity

The axiom of comonotonic independence for a preference ordering was introduced by Schmeidler [9]. It leads to the comonotonic additivity for the functional representing the preference ordering, which is necessarily a Choquet integral.The aim of this paper is to illuminate the concepts of comonotonicity, comonotonic independence and comonotonic additivity. For example the seemingly weaker condition of weak comonotonic independence used by Chateauneuf in [2] is seen to be equivalent to comonotonic independence. Comonotonic additivity is characterized as additivity on chains of sets. From this the characterization of Choquet integrals in [4], [1], [8] follows easily.