Choquet integral calculus on a continuous support and its applications

Abstract : In this paper, we give representation results about the calculation of the Choquet integral of a monotone function on the non negative real line. Next, we represent the Choquet integral of non monotone functions, by construction of monotone functions from non monotones ones, by using the increasing and decreasing rearrangement of a non monotone function. Finally, this paper is completed with some applications of these results to the continuous agregation operator OWA, and to the representation of risk measures by Choquet integral. .
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https://halshs.archives-ouvertes.fr/halshs-01411987
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Submitted on : Wednesday, December 7, 2016 - 5:38:03 PM
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Mustapha Ridaoui, Michel Grabisch. Choquet integral calculus on a continuous support and its applications. 2016. ⟨halshs-01411987⟩

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