扭曲风险度量的研究与进展  

Research and Developments of Distortion Risk Measures

作　　者：臧鑫 夏晨曦 杨静平[2] ZANG Xin;XIA Chenxi;YANG Jingping(School of Mathematics and Statistics,Beijing Jiaotong University,Beijing,100044,P.R.China;School of Mathematical Sciences,Peking University,Beijing,100871,P.R.China)

机构地区：[1]北京交通大学数学与统计学院,北京100044 [2]北京大学数学科学学院,北京100871

出　　处：《数学进展》2024年第6期1121-1144,共24页Advances in Mathematics（China）

基　　金：国家自然科学基金(Nos.12071016,12301598);中央高校基本科研业务费专项资金(No.2022RC027)。

摘　　要：随着全球金融市场的持续动荡,金融风险度量已成为金融数学领域的研究热点,提出具有实际背景的风险度量是一个重要研究方向.对一类得到广泛关注的风险度量——扭曲风险度量,本文对其相关前沿学术成果进行详细的回顾和总结,具体涵盖基础理论以及应用领域.With the persistent turbulence of global financial markets,research on financial risk measures has become a hot topic in the field of financial mathematics.Devising risk measures with practical background is an important research direction.For a prevalent type of risk measures,namely the distorted risk measures,this paper provides a detailed review and summary of the relevant cutting-edge academic developments.The review covers both basic theories and application fields.

关 键 词：扭曲风险度量 表示性定理 最优经济资本 资本配置 最优再保险 统计估计 

分 类 号：O29[理学—应用数学]