28 research outputs found

    A Cantelli-type inequality for constructing non-parametric p-boxes based on exchangeability.

    Get PDF
    In this paper we prove a new probability inequality that can be used to construct p-boxes in a non-parametric fashion, using the sample mean and sample standard deviation instead of the true mean and true standard deviation. The inequality relies only on exchangeability and boundedness

    Sklar's theorem in an imprecise setting

    Get PDF
    Sklar's theorem is an important tool that connects bidimensional distribution functions with their marginals by means of a copula. When there is imprecision about the marginals, we can model the available information by means of p-boxes, that are pairs of ordered distribution functions. Similarly, we can consider a set of copulas instead of a single one. We study the extension of Sklar's theorem under these conditions, and link the obtained results to stochastic ordering with imprecision

    Constructing copulas from shock models with imprecise distributions

    Full text link
    The omnipotence of copulas when modeling dependence given marg\-inal distributions in a multivariate stochastic situation is assured by the Sklar's theorem. Montes et al.\ (2015) suggest the notion of what they call an \emph{imprecise copula} that brings some of its power in bivariate case to the imprecise setting. When there is imprecision about the marginals, one can model the available information by means of pp-boxes, that are pairs of ordered distribution functions. By analogy they introduce pairs of bivariate functions satisfying certain conditions. In this paper we introduce the imprecise versions of some classes of copulas emerging from shock models that are important in applications. The so obtained pairs of functions are not only imprecise copulas but satisfy an even stronger condition. The fact that this condition really is stronger is shown in Omladi\v{c} and Stopar (2019) thus raising the importance of our results. The main technical difficulty in developing our imprecise copulas lies in introducing an appropriate stochastic order on these bivariate objects

    Addressing ambiguity in randomized reinsurance stop-loss treaties using belief functions

    Get PDF
    The aim of the paper is to model ambiguity in a randomized reinsurance stop-loss treaty. For this, we consider the lower envelope of the set of bivariate joint probability distributions having a precise discrete marginal and an ambiguous Bernoulli marginal. Under an independence assumption, since the lower envelope fails 2-monotonicity, inner/outer Dempster-Shafer approximations are considered, so as to select the optimal retention level by maximizing the lower expected insurer's annual profit under reinsurance. We show that the inner approximation is not suitable in the reinsurance problem, while the outer approximation preserves the given marginal information, weakens the independence assumption, and does not introduce spurious information in the retention level selection problem. Finally, we provide a characterization of the optimal retention level

    A Probabilistic Modelling Approach for Rational Belief in Meta-Epistemic Contexts

    Get PDF
    This work is part of the larger project INTEGRITY. Integrity develops a conceptual frame integrating beliefs with individual (and consensual group) decision making and action based on belief awareness. Comments and criticisms are most welcome via email. The text introduces the conceptual (internalism, externalism), quantitative (probabilism) and logical perspectives (logics for reasoning about probabilities by Fagin, Halpern, Megiddo and MEL by Banerjee, Dubois) for the framework

    A Probabilistic Modelling Approach for Rational Belief in Meta-Epistemic Contexts

    Get PDF
    This work is part of the larger project INTEGRITY. Integrity develops a conceptual frame integrating beliefs with individual (and consensual group) decision making and action based on belief awareness. Comments and criticisms are most welcome via email. Starting with a thorough discussion of the conceptual embedding in existing schools of thought and liter- ature we develop a framework that aims to be empirically adequate yet scalable to epistemic states where an agent might testify to uncertainly believe a propositional formula based on the acceptance that a propositional formula is possible, called accepted truth. The familiarity of human agents with probability assignments make probabilism particularly appealing as quantitative modelling framework for defeasible reasoning that aspires empirical adequacy for gradual belief expressed as credence functions. We employ the inner measure induced by the probability measure, going back to Halmos, interpreted as estimate for uncertainty. Doing so omits generally requiring direct probability assignments testi�ed as strength of belief and uncertainty by a human agent. We provide a logical setting of the two concepts uncertain belief and accepted truth, completely relying on the the formal frameworks of 'Reasoning about Probabilities' developed by Fagin, Halpern and Megiddo and the 'Metaepistemic logic MEL' developed by Banerjee and Dubois. The purport of Probabilistic Uncertainty is a framework allowing with a single quantitative concept (an inner measure induced by a probability measure) expressing two epistemological concepts: possibilities as belief simpliciter called accepted truth, and the agents' credence called uncertain belief for a criterion of evaluation, called rationality. The propositions accepted to be possible form the meta-epistemic context(s) in which the agent can reason and testify uncertain belief or suspend judgement

    ISIPTA'07: Proceedings of the Fifth International Symposium on Imprecise Probability: Theories and Applications

    Get PDF
    B

    A Probabilistic Modelling Approach for Rational Belief in Meta-Epistemic Contexts

    Get PDF
    This work is part of the larger project INTEGRITY. Integrity develops a conceptual frame integrating beliefs with individual (and consensual group) decision making and action based on belief awareness. Comments and criticisms are most welcome via email. Starting with a thorough discussion of the conceptual embedding in existing schools of thought and liter- ature we develop a framework that aims to be empirically adequate yet scalable to epistemic states where an agent might testify to uncertainly believe a propositional formula based on the acceptance that a propositional formula is possible, called accepted truth. The familiarity of human agents with probability assignments make probabilism particularly appealing as quantitative modelling framework for defeasible reasoning that aspires empirical adequacy for gradual belief expressed as credence functions. We employ the inner measure induced by the probability measure, going back to Halmos, interpreted as estimate for uncertainty. Doing so omits generally requiring direct probability assignments testi�ed as strength of belief and uncertainty by a human agent. We provide a logical setting of the two concepts uncertain belief and accepted truth, completely relying on the the formal frameworks of 'Reasoning about Probabilities' developed by Fagin, Halpern and Megiddo and the 'Metaepistemic logic MEL' developed by Banerjee and Dubois. The purport of Probabilistic Uncertainty is a framework allowing with a single quantitative concept (an inner measure induced by a probability measure) expressing two epistemological concepts: possibilities as belief simpliciter called accepted truth, and the agents' credence called uncertain belief for a criterion of evaluation, called rationality. The propositions accepted to be possible form the meta-epistemic context(s) in which the agent can reason and testify uncertain belief or suspend judgement

    A Probabilistic Modelling Approach for Rational Belief in Meta-Epistemic Contexts

    Get PDF
    This work is part of the larger project INTEGRITY. Integrity develops a conceptual frame integrating beliefs with individual (and consensual group) decision making and action based on belief awareness. Comments and criticisms are most welcome via email. The text introduces the conceptual (internalism, externalism), quantitative (probabilism) and logical perspectives (logics for reasoning about probabilities by Fagin, Halpern, Megiddo and MEL by Banerjee, Dubois) for the framework
    corecore