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2-Coherent and 2-convex conditional lower previsions

PELESSONI, RENATO
•
VICIG, PAOLO
2016
  • journal article

Periodico
INTERNATIONAL JOURNAL OF APPROXIMATE REASONING
Abstract
In this paper we explore relaxations of (Williams) coherent and convex conditional previsions that form the families of n-coherent and n-convex conditional previsions, at the varying of n. We investigate which such previsions are the most general one may reasonably consider, suggesting (centered) 2-convex or, if positive homogeneity and conjugacy is needed, 2-coherent lower previsions. Basic properties of these previsions are studied. In particular, we prove that they satisfy the Generalised Bayes Rule and always have a 2-convex or, respectively, 2-coherent natural extension. The role of these extensions is analogous to that of the natural extension for coherent lower previsions. On the contrary, n-convex and n -coherent previsions with n≥3 either are convex or coherent themselves or have no extension of the same type on large enough sets. Among the uncertainty concepts that can be modelled by 2-convexity, we discuss generalisations of capacities and niveloids to a conditional framework and show that the well-known risk measure Value-at-Risk only guarantees to be centered 2-convex. In the final part, we determine the rationality requirements of 2-convexity and 2-coherence from a desirability perspective, emphasising how they weaken those of (Williams) coherence.
DOI
10.1016/j.ijar.2016.06.003
WOS
WOS:000381164500005
Archivio
http://hdl.handle.net/11368/2880626
info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-84974801254
http://www.sciencedirect.com/science/article/pii/S0888613X16300792
Diritti
open access
license:digital rights management non definito
license:creative commons
license uri:http://creativecommons.org/licenses/by-nc-nd/3.0/it/
FVG url
https://arts.units.it/request-item?handle=11368/2880626
Soggetti
  • Williams coherence

  • 2-Coherent prevision

  • 2-Convex prevision

  • Generalised Bayes Rul...

Web of Science© citazioni
13
Data di acquisizione
Mar 20, 2024
Visualizzazioni
1
Data di acquisizione
Apr 19, 2024
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