KMS Of Academy of mathematics and systems sciences, CAS
Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders | |
Song, Yongsheng; Yan, Jia-An | |
2009-12-01 | |
发表期刊 | INSURANCE MATHEMATICS & ECONOMICS |
ISSN | 0167-6687 |
卷号 | 45期号:3页码:459-465 |
摘要 | This paper proposes some new classes of risk measures, which are not only comonotonic subadditive or convex, but also respect the (first) stochastic dominance or stop-loss order. We give their representations in terms of Choquet integrals w.r.t. distorted probabilities, and show that if the physical probability is atomless then a comonotonic subadditive (resp. convex) risk measure respecting stop-loss order is in fact a law-invariant coherent (resp. convex) risk measure. (C) 2009 Elsevier B.V. All rights reserved. |
关键词 | Choquet integral (Concave) distortion Risk measure Stochastic orders Coherent |
DOI | 10.1016/j.insmatheco.2009.09.011 |
语种 | 英语 |
资助项目 | Bielefeld University ; Power Corporation/Great West Life/London Life/Canada Life Distinguished Visitor Program ; National Natural Science Foundation of China[10571167] ; National Basic Research Program of China[2007CB814902] ; Science Fund for Creative Research Groups[10721101] |
WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
WOS类目 | Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability |
WOS记录号 | WOS:000272604000015 |
出版者 | ELSEVIER SCIENCE BV |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/8241 |
专题 | 应用数学研究所 |
通讯作者 | Yan, Jia-An |
作者单位 | Chinese Acad Sci, Acad Math & Syst Sci, Ctr Financial Engn & Risk Management, Beijing, Peoples R China |
推荐引用方式 GB/T 7714 | Song, Yongsheng,Yan, Jia-An. Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders[J]. INSURANCE MATHEMATICS & ECONOMICS,2009,45(3):459-465. |
APA | Song, Yongsheng,&Yan, Jia-An.(2009).Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders.INSURANCE MATHEMATICS & ECONOMICS,45(3),459-465. |
MLA | Song, Yongsheng,et al."Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders".INSURANCE MATHEMATICS & ECONOMICS 45.3(2009):459-465. |
条目包含的文件 | 条目无相关文件。 |
个性服务 |
推荐该条目 |
保存到收藏夹 |
查看访问统计 |
导出为Endnote文件 |
谷歌学术 |
谷歌学术中相似的文章 |
[Song, Yongsheng]的文章 |
[Yan, Jia-An]的文章 |
百度学术 |
百度学术中相似的文章 |
[Song, Yongsheng]的文章 |
[Yan, Jia-An]的文章 |
必应学术 |
必应学术中相似的文章 |
[Song, Yongsheng]的文章 |
[Yan, Jia-An]的文章 |
相关权益政策 |
暂无数据 |
收藏/分享 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论