SUBADDITIVITY

作品数：6被引量：4H指数：1
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相关期刊：《Communications in Theoretical Physics》《Acta Mathematica Scientia》《Probability, Uncertainty and Quantitative Risk》《Chinese Journal of Aeronautics》更多>>
相关基金：国家自然科学基金河南省自然科学基金更多>>
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Capital allocation for cash-subadditive risk measures:From BSDEs toBSVIEs
《Probability, Uncertainty and Quantitative Risk》2024年第3期339-370,共32页Emanuela Rosazza Gianin Marco Zullino 
financial support of Gnampa Research Project 2024 (Grant No.PRR-20231026-073916-203);funded in part by an Ermenegildo Zegna Founder's Scholarship (Zullino)。
In the context of risk measures,the capital allocation problem is widely studied in the literature where different approaches have been developed,also in connection with cooperative game theory and systemic risk.Altho...
关键词：Risk measures Capital allocation BSDE BSVIE Cash-subadditivity SUBDIFFERENTIAL 
Remarks on “A new non-specificity measure in evidence theory based on belief intervals”
《Chinese Journal of Aeronautics》2018年第3期529-533,共5页Joaquín ABELLAN 
supported by the Spanish ‘‘Ministerio de Economíay Competitividad";by ‘‘Fondo Europeo de Desarrollo Regional"(FEDER)(No.TEC2015-69496-R)
Two types of uncertainty co-exist in the theory of evidence： discord and non-specificity.From 90s, many mathematical expressions have arisen to quantify these two parts in an evidence.An important aspect of each meas...
关键词：ADDITIVITY Imprecise probabilities Non-specificity SUBADDITIVITY Theory of evidence Uncertainty measures 
CASH SUBADDITIVE RISK MEASURES FOR PORTFOLIO VECTORS被引量：3
《Acta Mathematica Scientia》2018年第1期361-376,共16页刘红卫 胡亦钧 魏林晓 
Supported by the National Natural Science Foundation of China(11371284,11771343)
In this paper, from the viewpoint of the time value of money, we study the risk measures for portfolio vectors with discount factor. Cash subadditive risk measures for portfolio vectors are proposed. Representation re...
关键词：cash subadditivity risk measures convex analysis portfolio vectors 
Risk measures with comonotonic subadditivity or convexity on product spaces被引量：1
《Applied Mathematics(A Journal of Chinese Universities)》2015年第4期407-417,共11页WEI Lin-xiao MA Yue HU Yi-jun 
Supported by the National Natural Science Foundation of China(11371284);the Natural Science Foundation of Henan Province(14B110037)
In this paper, by an axiomatic approach, we propose the concepts of comonotonic subadditivity and comonotonic convex risk measures for portfolios, which are extensions of the ones introduced by Song and Yan （2006）. ...
关键词：Choquet integral comonotonic subadditivity risk measure comonotonic convex risk measure multi-period risk measure capital allocation product space. 
The Saturation of Several Universal Inequalities in Information-Processing
《Communications in Theoretical Physics》2015年第4期427-430,共4页张林 武俊德 费少明 
Supported by National Natural Science Foundation of China under Grant Nos.11301124,11171301;the Doctoral Programs Foundation of Ministry of Education of China under Grant No.J20130061
In this paper, we characterize the saturation of four universal inequalities in quantum information theory, including a variant version of strong subadditivity inequality for von Neumann entropy, the coherent informat...
关键词：strong subadditivity coherent information Holevo quantity quantum channel 
On the generalized risk measures被引量：1
《Applied Mathematics(A Journal of Chinese Universities)》2012年第3期281-289,共9页ZHANG Ai-li WANG Wen-yuan HU Yi-jun 
Supported in part by the National Natural Science Foundation of China (10971157);Key Projects of Philosophy and Social Sciences Research;Ministry of Education of China (09JZD0027);The Talent Introduction Projects of Nanjing Audit University
In this paper, new risk measures are introduced, tation results are also given. These newly introduced risk introduced by Song and Yan （2009） and Karoui （2009）. and the corresponding represen- measures are extens...
关键词：risk measure DISTORTION cash subadditivity robust representation. 
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