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A study of the Pari-Mutuel Model from the point of view of Imprecise Probabilities

Abstract : The Pari-Mutuel model is a distortion model that has its origin in horse racing. Since then, it has been applied in many different fields, such as finance or risk analysis. In this paper we investigate the properties of the Pari-Mutuel model within the framework of Imprecise Probabilities. Since a Pari-Mutuel model induces (2-monotone) coherent lower and upper probabilities, we investigate its connections with other relevant models within this theory, such as probability intervals and belief functions. We also determine the number of extreme points of the credal set induced by the Pari-Mutuel model and study how to combine the information given by multiple Pari-Mutuel models.
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https://hal.archives-ouvertes.fr/hal-01677529
Contributor : Sébastien Destercke <>
Submitted on : Monday, January 8, 2018 - 2:14:59 PM
Last modification on : Tuesday, May 28, 2019 - 4:05:34 PM
Long-term archiving on: : Wednesday, May 23, 2018 - 3:35:11 PM

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Ignacio Montes, Enrique Miranda, Sébastien Destercke. A study of the Pari-Mutuel Model from the point of view of Imprecise Probabilities. International Symposium on Imprecise Probability: Theories and Applications (ISIPTA), Jun 2017, Lugano, Switzerland. pp.229-240. ⟨hal-01677529⟩

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