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I have one question that cannot fully understand why. What is the definition of the Choquet integral risk measure?

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    $\begingroup$ Have you checked Wikipedia? $\endgroup$ – Daneel Olivaw Jun 19 at 9:55
  • $\begingroup$ Of course! If you find one, please send me. And I want more discussion, not only mathematical terms. $\endgroup$ – David Nguyen Jun 19 at 12:13
  • $\begingroup$ The integral is defined in an article in Wikipedia. I suggest you rephrase your original post to make it more specific. What is it you want to know about this integral? Some kind of intuitive explanation? That would increase the chances of someone answering. Personally I am not familiar with it. $\endgroup$ – Daneel Olivaw Jun 19 at 12:25
  • $\begingroup$ Thank you. But I think it is the integral, not integral risk measure. I suggest that there is some connection between Choquet integral and risk measure but don't know in specific. $\endgroup$ – David Nguyen Jun 19 at 21:51
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    $\begingroup$ It’d be helpful to get a reference on where you’ve read or heard about this. $\endgroup$ – David Addison Jun 20 at 13:20

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