Finding the worst-case value of a preference over a set of plausible models is a well-established approach to address the issue of model uncertainty or ambiguity. In this paper, we study the worst-case evaluation of Yaari's dual utility functionals of an aggregate risk under dependence...

This article contains various results on a class of non-monotone law-invariant risk functionals, called the signed Choquet integrals. A functional characterization via comonotonic additivity is established, along with some theoretical properties including six equivalent conditions for a signed...

We introduce the concepts of φ-complete mixability and φ-joint mixability and we investigate some necessary and sufficient conditions to the φ-mixability of a set of distribution functions for some supermodular functions φ. We give examples and numerical verifications which confirm our findings