扩张单调和共单调加性风险测度用Choquet积分表示

IF 1.3 Q2 STATISTICS & PROBABILITY

Statistics & Risk Modeling Pub Date : 2006-07-01 DOI:10.1524/STND.2006.24.1.27

P. Grigoriev, Johannes Leitner

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引用次数: 5

摘要

本文的目的是将Choquet积分的一些结果与相干风险测度理论联系起来。利用这一联系，我们建立了风险的扩张单调和共单调相干测度的一些性质。特别地，证明了在无原子概率空间膨胀上单调和共单调加性相干风险测度必须是律不变的。

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Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals

SUMMARY The purpose of our paper is to link some results on the Choquet integrals with the theory of coherent risk measures. Using this link we establish some properties of dilatation monotone and comonotonic coherent measures of risk. In particular it is shown that on an atomless probability space dilatation monotone and comonotonic additive coherent risk measures have to be law invariant.

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来源期刊

Statistics & Risk Modeling STATISTICS & PROBABILITY-

CiteScore

1.80

自引率

6.70%

发文量

期刊介绍： Statistics & Risk Modeling (STRM) aims at covering modern methods of statistics and probabilistic modeling, and their applications to risk management in finance, insurance and related areas. The journal also welcomes articles related to nonparametric statistical methods and stochastic processes. Papers on innovative applications of statistical modeling and inference in risk management are also encouraged. Topics Statistical analysis for models in finance and insurance Credit-, market- and operational risk models Models for systemic risk Risk management Nonparametric statistical inference Statistical analysis of stochastic processes Stochastics in finance and insurance Decision making under uncertainty.