Set-valued risk statistics with scenario analysis
Set-valued risk statistics with scenario analysis
复制标题
具有情景分析的集值风险统计
DOI：
10.1016/j.spl.2017.08.004
复制
发表时间：
2017-12-01
影响因子：
0.8
通讯作者：
Hu, Yijun
中科院分区：
文献类型：
--
作者：
Chen, Yanhong;Hu, Yijun
本文引入了两类新的风险统计，即集值相干风险统计和凸风险统计。这些新的风险统计可以看作是Kou、Peng和Heyde（2013）引入的风险统计的一种集值扩展，也是Jouini、Meddeb和Touzi（2004）和Hamel（2009）分别引入的集值相干风险测度和凸风险测度的经验版本。给出了这些新引入的风险统计的表示结果。最后，我们还给出了集值相干和凸风险统计的一些例子。(C) 2017 Elsevier B.V.版权所有
In this paper, we introduce two new classes of risk statistics, named set-valued coherent and convex risk statistics. These new risk statistics can be considered as a kind of set valued extension of risk statistics introduced by Kou, Peng and Heyde (2013), and also empirical versions of set-valued coherent and convex risk measures introduced by Jouini, Meddeb and Touzi (2004) and Hamel (2009), respectively. Representation results for these new introduced risk statistics are provided. Finally, we also provide some examples of set valued coherent and convex risk statistics. (C) 2017 Elsevier B.V. All rights reserved.