容度空间上保费泛函的Choquet积分表示及相关性质  

Choquet integral representation of premium functional and related properties on capacity space

作　　者：杨莹[1] 江龙[1] 索新丽[1] 

机构地区：[1]中国矿业大学理学院,江苏徐州221116

出　　处：《山东大学学报（理学版）》2013年第1期78-82,88,共6页Journal of Shandong University(Natural Science)

基　　金：国家自然科学基金资助项目(10971220);全国优秀博士学位论文作者专项基金资助项目(200919);中央高校基本科研业务费专项资金项目(2010LKSX04);江苏省"青蓝工程"基金资助项目

摘　　要：研究容度空间上的保费泛函,证明了满足分布单调性、共单调可加性与规范性的保费泛函可以表示成关于扭曲容度的Choquet积分,并给出了扭曲函数g的存在性与惟一性定理及扭曲容度的一些相关性质。The premium functional on capacity space was investigated, and the results prove that the premium functional that satisfies monotonicity of the distribution, comonotonic additivity and normativity can be represented as Choquet in- tegral with respect to the distorted capacity. And then the theorem of the existence and uniqucness of the distorted func- tion g and some related properties of the distorted capacity were obtained.

关 键 词：保费泛函 CHOQUET积分 容度 容度空间 

分 类 号：O211.67[理学—概率论与数理统计]