THE MAXIMAL PRIOR SET IN THE REPRESENTATION OF COHERENT RISK MEASURE

한국수학교육학회지시리즈B:순수및응용수학 / 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 (Department of Mathematics, Sungshin Women's University)

Kim, Ju Hong. (2016). THE MAXIMAL PRIOR SET IN THE REPRESENTATION OF COHERENT RISK MEASURE. 한국수학교육학회지시리즈B:순수및응용수학, 23(4), 377-383, https://doi.org/10.7468/jksmeb.2016.23.4.377

복사

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

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논문 상세

Vol.23 No.4

THE MAXIMAL PRIOR SET IN THE REPRESENTATION OF COHERENT RISK MEASURE

THE MAXIMAL PRIOR SET IN THE REPRESENTATION OF COHERENT RISK MEASURE

Abstract

한국수학교육학회지시리즈B:순수및응용수학