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
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Authors addresses:
Renato Pelessoni
Dip. Matematica Applicata "B. de Finetti"
University of Trieste
P.le Europa n.1
I - 34127 Trieste
Italy
Paolo Vicig
Paolo Vicig
Universita' di Trieste,
Dipartimento di Matematica Applicata "B. de Finetti",
Piazzale Europa, 1
I - 34127, Trieste, Italy
Fax: ++39 040 54209
Phone: ++39 040 5587108
E-mail addresses:
| Renato Pelessoni | renato.pelessoni@econ.units.it |
| Paolo Vicig | paolov@econ.univ.trieste.it |
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