用Choquet积分法测量风险

Defei Zhang, P. He
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引用次数: 0

摘要

本文给出了由Choquet积分定义的风险测度既是相干风险测度又是凸风险测度的充分条件。研究了相干(凸)风险测度的一些性质,给出了广义风险测度的Jensen不等式和支配收敛定理。
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Risk Measure via Choquet Integral
In this paper, we obtain the sufficient condition for a risk measure defined by Choquet integral is not only coherent risk measure but also convex risk measure. Some properties about coherent (convex) risk measures are investigated and Jensen's inequality and dominated convergence theorem for generalized risk measure are presented.
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