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ISSN : 1226-0657

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Vol.23 No.4

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THE MAXIMAL PRIOR SET IN THE REPRESENTATION OF COHERENT RISK MEASURE

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics / Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, (P)1226-0657; (E)2287-6081
2016, v.23 no.4, pp.377-383
https://doi.org/10.7468/jksmeb.2016.23.4.377
Kim, Ju Hong
Kim,, J. H. (2016). THE MAXIMAL PRIOR SET IN THE REPRESENTATION OF COHERENT RISK MEASURE. Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics, 23(4), 377-383, https://doi.org/10.7468/jksmeb.2016.23.4.377

Abstract

The set of priors in the representation of coherent risk measure is expressed in terms of quantile function and increasing concave function. We show that the set of prior, <TEX>$\mathcal{Q}_c$</TEX> in (1.2) is equal to the set of <TEX>$\mathcal{Q}_m$</TEX> in (1.6), as maximal representing set <TEX>$\mathcal{Q}_{max}$</TEX> defined in (1.7).

keywords
set of priors, coherent risk measure, Choquet expectation, quantile, minimal penalty function

Journal of the Korean Society of Mathematical Education Series B: The Pure and Applied Mathematics

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