L - p型模上拟凸动态风险测度的完全对偶性

IF 1.3 Q2 STATISTICS & PROBABILITY

Statistics & Risk Modeling Pub Date : 2012-01-09 DOI:10.1515/strm-2013-1163

M. Frittelli, Marco Maggis

{"title":"L - p型模上拟凸动态风险测度的完全对偶性","authors":"M. Frittelli, Marco Maggis","doi":"10.1515/strm-2013-1163","DOIUrl":null,"url":null,"abstract":"Abstract In the conditional setting we provide a complete duality between quasiconvex risk measures defined on L 0 modules of the L p type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex real valued maps.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2012-01-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/strm-2013-1163","citationCount":"38","resultStr":"{\"title\":\"Complete duality for quasiconvex dynamic risk measures on modules of the L p -type\",\"authors\":\"M. Frittelli, Marco Maggis\",\"doi\":\"10.1515/strm-2013-1163\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract In the conditional setting we provide a complete duality between quasiconvex risk measures defined on L 0 modules of the L p type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex real valued maps.\",\"PeriodicalId\":44159,\"journal\":{\"name\":\"Statistics & Risk Modeling\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.3000,\"publicationDate\":\"2012-01-09\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1515/strm-2013-1163\",\"citationCount\":\"38\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Statistics & Risk Modeling\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1515/strm-2013-1163\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Statistics & Risk Modeling","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/strm-2013-1163","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}

引用次数: 38

摘要

在条件条件下，给出了l0型模上的拟凸风险测度与对偶函数的适当类之间的完全对偶性。这是基于准凸实值映射通常的Penot-Volle表示的一般结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Complete duality for quasiconvex dynamic risk measures on modules of the L p -type

Abstract In the conditional setting we provide a complete duality between quasiconvex risk measures defined on L 0 modules of the L p type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex real valued maps.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

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.