二次交替容度的AVaR的表示定理(英文)

Representation theorem for AVaR under a submodular capacity

从分位数函数的角度出发,首先定义了金融头寸在容度空间下的VaR和AVaR.然后综合运用Choquet积分的性质以及概率测度空间下AVaR的结果,建立了基于二次交替容度的AVaR的表示定理.进一步得到了基于二次交替容度的AVaR为一致性风险度量,推广了经典的结果.

From the viewpoints of quantile functions, we gave the definition of AVaR of financial positions under a capacity. Then, using the classical results of AVaR under the probability measure, we established the representation theorem for AVaR under the submodular capacity. As a byproduct of this representation theorem, we proved that AVaR under a submodular capacity is a coherent risk measure, which generalized the classical results.