检索规则说明:AND代表“并且”;OR代表“或者”;NOT代表“不包含”;(注意必须大写,运算符两边需空一格)
检 索 范 例 :范例一: (K=图书馆学 OR K=情报学) AND A=范并思 范例二:J=计算机应用与软件 AND (U=C++ OR U=Basic) NOT M=Visual
机构地区:[1]哈尔滨工业大学管理学院,黑龙江哈尔滨150001
出 处:《辽宁工程技术大学学报(自然科学版)》2006年第B06期277-280,共4页Journal of Liaoning Technical University (Natural Science)
基 金:国家自然科学基金资助项目(70503008);广东省软科学研究计划基金资助项目(045325)
摘 要:针对一致性风险度量有限概率空间和静态框架的限制问题,将一致性风险度量公理扩展到广义概率空间动态框架内。根据广义概率空间及其度量函数性质,在风险度量动态框架下给出风险度量可行集和资本需求的概念,并在此基础上证明广义概率空间下凸性风险度量可行集以及风险度量与资本需求映射关系的相关命题,最后提出离散过程风险度量的弱持续性、强持续性和递归性,构建广义概率空间下动态风险度量公理体系。To solve the problen of the limits of finite probability space and static framework of coherent measure of risk, the coherent measure of risk is extended from the finite probability space into the dynamic framework on the general probability space. The concepts of acceptance set and capital requirement of risk measure in the dynamic risk measures framework are put forward according to the characters of general probability space and its measure function. Based on the concepts, the propositions on the acceptance set of convex risk measures on the general probability space are proposed and proved. There are also corresponding propositions on the mapping relationship between risk measure and capital requirement in the third part, which are dealt with in the same way as propositions above. Finally the poor consistency, strong consistency and recursive ness towards discrete-time process risk measures have been proposed, which constitute the axioms of dynamic risk measures on general probability space.
正在载入数据...
正在载入数据...
正在载入数据...
正在载入数据...
正在载入数据...
正在载入数据...
正在载入数据...
正在链接到云南高校图书馆文献保障联盟下载...
云南高校图书馆联盟文献共享服务平台 版权所有©
您的IP:216.73.216.13