An overview of representation theorems for static risk measures
文献类型：期刊论文
| 作者 | Song YongSheng ; Yan JiaAn
|
| 刊名 | SCIENCE IN CHINA SERIES A-MATHEMATICS
 |
| 出版日期 | 2009-07-01 |
| 卷号 | 52期号:7页码:1412-1422 |
| 关键词 | Choquet integral (concave) distortion law-invariant risk measure stochastic orders |
| ISSN号 | 1006-9283 |
| DOI | 10.1007/s11425-009-0122-7 |
| 英文摘要 | 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. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000267774200002 |
| 出版者 | SCIENCE PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/8812]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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