On the generalized risk measures

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• 作者：Ai-li Zhang (1) zhangailiwh@126.com
  Wen-yuan Wang (2)
  Yi-jun Hu (2)
• 关键词：risk measure – ; distortion – ; cash subadditivity – ; robust representation
• 刊名：Applied Mathematics - A Journal of Chinese Universities
• 出版年：2012
• 出版时间：September 2012
• 年：2012
• 卷：27
• 期：3
• 页码：281-289
• 全文大小：153.3 KB
• 参考文献：1. P Artzner, F Delbaen, J Eber, D Heath. Coherent measures of risk, Math Finance, 1999, 9: 203–228.
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  4. H F枚llmer, A Schied. Convex measures of risk and trading constraints, Finance Stoch, 2002, 6: 429–447.
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  6. M Frittelli, G Rosazza. Putting order in risk measures, J Banking Finance, 2002, 26: 1473–1486.
  7. N Karoui. Cash subadditive risk measures and interest rate ambiguity, Math Finance, 2009, 19: 561–590.
  8. Y Song, J Yan. Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders, Insurance Math Econom, 2009, 45: 459–465.
• 作者单位：1. School of Mathematics and Statistics, Nanjing Audit University, Nanjing, 211815 China2. School of Mathematics and Statistics, Wuhan University, Wuhan, 430072 China
• ISSN：1993-0445

文摘

In this paper, new risk measures are introduced, and the corresponding representation results are also given. These newly introduced risk measures are extensions of those introduced by Song and Yan (2009) and Karoui (2009).