{"title":"扩张单调和共单调加性风险测度用Choquet积分表示","authors":"P. Grigoriev, Johannes Leitner","doi":"10.1524/STND.2006.24.1.27","DOIUrl":null,"url":null,"abstract":"SUMMARY The purpose of our paper is to link some results on the Choquet integrals with the theory of coherent risk measures. Using this link we establish some properties of dilatation monotone and comonotonic coherent measures of risk. In particular it is shown that on an atomless probability space dilatation monotone and comonotonic additive coherent risk measures have to be law invariant.","PeriodicalId":44159,"journal":{"name":"Statistics & Risk Modeling","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2006-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1524/STND.2006.24.1.27","citationCount":"5","resultStr":"{\"title\":\"Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals\",\"authors\":\"P. Grigoriev, Johannes Leitner\",\"doi\":\"10.1524/STND.2006.24.1.27\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"SUMMARY The purpose of our paper is to link some results on the Choquet integrals with the theory of coherent risk measures. Using this link we establish some properties of dilatation monotone and comonotonic coherent measures of risk. In particular it is shown that on an atomless probability space dilatation monotone and comonotonic additive coherent risk measures have to be law invariant.\",\"PeriodicalId\":44159,\"journal\":{\"name\":\"Statistics & Risk Modeling\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.3000,\"publicationDate\":\"2006-07-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1524/STND.2006.24.1.27\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Statistics & Risk Modeling\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1524/STND.2006.24.1.27\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Statistics & Risk Modeling","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1524/STND.2006.24.1.27","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
Dilatation monotone and comonotonic additive risk measures represented as Choquet integrals
SUMMARY The purpose of our paper is to link some results on the Choquet integrals with the theory of coherent risk measures. Using this link we establish some properties of dilatation monotone and comonotonic coherent measures of risk. In particular it is shown that on an atomless probability space dilatation monotone and comonotonic additive coherent risk measures have to be law invariant.
期刊介绍：
Statistics & Risk Modeling (STRM) aims at covering modern methods of statistics and probabilistic modeling, and their applications to risk management in finance, insurance and related areas. The journal also welcomes articles related to nonparametric statistical methods and stochastic processes. Papers on innovative applications of statistical modeling and inference in risk management are also encouraged. Topics Statistical analysis for models in finance and insurance Credit-, market- and operational risk models Models for systemic risk Risk management Nonparametric statistical inference Statistical analysis of stochastic processes Stochastics in finance and insurance Decision making under uncertainty.
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