An overview of representation theorems for static risk measures

doi:10.1007/s11425-009-0122-7

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	An overview of representation theorems for static risk measures
	Song YongSheng; Yan JiaAn
	2009-07-01
发表期刊	SCIENCE IN CHINA SERIES A-MATHEMATICS
ISSN	1006-9283
卷号	52 期号:7 页码:1412-1422
摘要	In this paper, we give an overview of representation theorems for various static risk measures: coherent or convex risk measures, risk measures with comonotonic subadditivity or convexity, law-invariant coherent or convex risk measures, risk measures with comonotonic subadditivity or convexity and respecting stochastic orders.
关键词	Choquet integral (concave) distortion law-invariant risk measure stochastic orders
DOI	10.1007/s11425-009-0122-7
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000267774200002
出版者	SCIENCE PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/8813
专题	应用数学研究所
通讯作者	Yan JiaAn
作者单位	Chinese Acad Sci, Acad Math & Syst Sci, Ctr Financial Engn & Risk Management, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Song YongSheng,Yan JiaAn. An overview of representation theorems for static risk measures[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS,2009,52(7):1412-1422.
APA	Song YongSheng,&Yan JiaAn.(2009).An overview of representation theorems for static risk measures.SCIENCE IN CHINA SERIES A-MATHEMATICS,52(7),1412-1422.
MLA	Song YongSheng,et al."An overview of representation theorems for static risk measures".SCIENCE IN CHINA SERIES A-MATHEMATICS 52.7(2009):1412-1422.