离散过程风险度量属性研究  被引量:1

Research on discrete-time process risk measures properties

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作  者:孙健[1] 安实[1] 王岩[1] 王健[1] 

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.

关 键 词:离散过程 动态风险度量 风险度量公理 

分 类 号:F830.9[经济管理—金融学]

 

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