基于次线性期望下的风险测度  

The Risk Measures Based on Sublinear Expectations

作　　者：吝洁[1] 韩琦[1] 

机构地区：[1]西北师范大学数学与信息科学学院,兰州730070

出　　处：《重庆理工大学学报（自然科学）》2013年第2期126-129,共4页Journal of Chongqing University of Technology：Natural Science

基　　金：甘肃省自然科学基金资助项目(0710RJZA106)

摘　　要：由于一致性风险公理中的平移不变性存在不合理性,故将它删除,结合次线性期望的概念,增加保常性,提出修正的一致性风险测度。推导了风险测度新的期望表示定理,其特点是需要次线性期望的稳健形式来表示。此外,这种表示结果对次线性期望下的风险测度提供了参考。The translation invariance, which is one of the coherent measures of risk axiom, is not reasonable, so it is deleted, and combined with the concept of sublinear expectation, increasing constant preserving, which is called modified coherent risk measures. This paper derives new expectation representations of coherent risk measures. A special feature of the representations is that it requires the use of the robust representations of sublinear expectation. Additionally, the results provide some insight into sublinear expectation of risk measures.

关 键 词：风险测度 一致性风险度量 次线性期望 稳健 

分 类 号：O21[理学—概率论与数理统计] F224[理学—数学]