摘要
该文建立了多维框架下的静态风险度量,介绍了多维币值风险度量和可接受集概念,讨论了多维风险度量与可接受集之间的关系,最后给出了静态多维风险度量的表示定理,并给出了多维风险度量的一些性质.
In this paper, static risk measures is established in the multidimensional framework, the concepts of multidimensional monetary risk measures and acceptable set are introduced, and the relationships between multidimensional risk measures and acceptable set are investigated. Finally, the representation theorem of multidimensional risk measures is provided, some properties of multidimensional risk measures are given.
作者
刘红卫
肖彩波
胡亦钧
Hongwei Liu;Caibo Xiao;Yijun Hu(School of Science, Tibet University, Lhasa 850000;School of Public Administration, Hebei University of Economics and Business, Shijiazhuang 050061;School of Mathematics and Statistics, Wuhan University, Wuhan 430072)
出处
《数学物理学报(A辑)》
CSCD
北大核心
2019年第2期393-401,共9页
Acta Mathematica Scientia
基金
西藏大学珠峰学者项目基金(2016141)
西藏自治区哲学社会科学专项重点项目(2017ASH001)
国家自然科学基金(51768063
11771343)~~