Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
文献类型：期刊论文
| 作者 | Song, Yongsheng ; Yan, Jia-An
|
| 刊名 | INSURANCE MATHEMATICS & ECONOMICS
 |
| 出版日期 | 2009-12-01 |
| 卷号 | 45期号:3页码:459-465 |
| 关键词 | Choquet integral (Concave) distortion Risk measure Stochastic orders Coherent |
| ISSN号 | 0167-6687 |
| DOI | 10.1016/j.insmatheco.2009.09.011 |
| 英文摘要 | 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. |
| 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 |
| 语种 | 英语 |
| WOS记录号 | WOS:000272604000015 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/8240]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
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。