On the generalized risk measures

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).

Saved in:
Bibliographic Details
Published inApplied Mathematics-A Journal of Chinese Universities Vol. 27; no. 3; pp. 281 - 289
Main Authors Zhang, Ai-li, Wang, Wen-yuan, Hu, Yi-jun
Format Journal Article
LanguageEnglish
Published Heidelberg SP Editorial Committee of Applied Mathematics - A Journal of Chinese Universities 01.09.2012
Subjects
Applications of Mathematics
Mathematics
Mathematics and Statistics
risk measure
91B16
91B30
distortion
cash subadditivity
robust representation
Online AccessGet full text

Cover

More Information
Summary: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).
ISSN:1005-1031
1993-0445
DOI:10.1007/s11766-012-2979-4