Set-valued loss-based risk measures
Set-valued loss-based risk measures
复制标题
基于损失的定值风险度量
DOI：
10.1007/s11117-017-0550-5
复制
发表时间：
2017
期刊：
影响因子：
1
通讯作者：
Yijun Hu
中科院分区：
文献类型：
--
作者：
Fei Sun;Yanhong Chen;Yijun Hu
本文引入了一类新的集值风险测度，即集值凸损失风险测度。给出了表示结果。这个新类可以被认为是Cont等人（Stat Risk Model, applied Finance insurance 30(2): 133-167, 2013）和Chen等人（Positivity, 2017）引入的类的集值扩展。最后，给出了基于集值凸损失的风险测度的实例。
In this paper, we introduce a new class of set-valued risk measures, named set-valued convex loss-based risk measures. Representation results are provided. This new class can be considered as a set-valued extension of those introduced by Cont et al. (Stat Risk Model Appl Finance Insur 30(2):133–167, 2013) and Chen et al. (Positivity, 2017). Finally, examples are also given to illustrate the set-valued convex loss-based risk measures.