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math.FA2022
Random sets and Choquet-type representations
Çağın Ararat, Umur Cetin
As appropriate generalizations of convex combinations with uncountably many terms, we introduce the so-called Choquet combinations, Choquet decompositions and Choquet convex decomp…
q-fin.MF2022
Decomposable sums and their implications on naturally quasiconvex risk measures
Çağın Ararat, Barış Bilir, Elisa Mastrogiacomo
Convexity and quasiconvexity are two properties that capture the concept of diversification for risk measures. Between the two, there is natural quasiconvexity, an old but not so w…