CVaR及其相关变换(英文)

On the CVaR Transforms with Related Transforms

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摘要研究了CVaR与其他几个概率变换的关系,给出了关于CVaR的几个公式. Close geometric and analytical relationships between the notion of conditional value-at-risk (CVaR) and several probability transforms of common use in reliability, actuarial science, finance and economics are formulated.

作者康殿统

机构地区河西学院数学系

出处《天津师范大学学报（自然科学版）》 CAS 2004年第3期42-45,共4页 Journal of Tianjin Normal University：Natural Science Edition

关键词 CVAR 右扩展变换洛伦兹变换对偶洛伦兹变换试验总时间变换哈代一利特尔伍德变换畸变变换 CVaR right-spread transform Lorenz transform dual Lorenz transform TTT transform Hardy-Littlewood transform distortion transform

分类号 O212.2 [理学—概率论与数理统计]

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天津师范大学学报（自然科学版）

2004年第3期

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CVaR及其相关变换(英文)

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