Sub-Additive Aggregation Functions and Their Applications in Construction of Coherent Upper Previsions

Abstract

In this paper, we explore the use of aggregation functions in the construction of coherent upper previsions. Sub-additivity is one of the defining properties of a coherent upper prevision defined on a linear space of random variables and thus we introduce a new sub-additive transformation of aggregation functions, called a revenue transformation, whose output is a sub-additive aggregation function bounded below by the transformed aggregation function, if it exists. Method of constructing coherent upper previsions by means of shift-invariant, positively homogeneous and sub-additive aggregation functions is given and a full characterization of shift-invariant, positively homogeneous and idempotent aggregation functions on [0,∞[n is presented. Lastly, some concluding remarks are added.

Keywords

• sub-additivity
• revenue transformation
• aggregation function
• coherent upper prevision