摘要
在公理化假设的基本框架下,建立了次线性期望(超线性期望)与一致性风险度量之间的对应关系。进一步地,在对非线性数学期望附加一定的连续性假设的条件下,建立了凸期望(凹期望)与凸风险度量之间的内在联系。
Under the axiomatic assumptions for nonlinear expectations and financial risk measures,the relation between sublinear expectations(Resp. superlinear expectations)and coherent risk measures is obtained,respectively. Furthermore,under a natural continuous assumption for the nonlinear expectations,the relationship between convex expectations(Resp. concave expectations)and convex risk measures is also established,respectively.
作者
黄安琪
周津名
纪荣林
HUANG Anqi;ZHOU Jinming;JI Ronglin(School of International Trade and Economics,University of International Business and Economics,Beijing 100029,China;School of Mathematical Sciences,Anhui University,Hefei 230601,China;School of Mathematics and Statistics,Hefei Normal University,Hefei 230601,China)
出处
《中山大学学报（自然科学版）》
CAS
CSCD
北大核心
2020年第4期144-148,共5页
Acta Scientiarum Naturalium Universitatis Sunyatseni
基金
安徽大学博士科研启动(Y040418128)
安徽省高校自然科学研究(KJ2018A0496,KJ2019A0001)。
关键词
非线性数学期望
次线性期望
凸期望
一致性风险度量
凸风险度量
nonlinear expectation
sublinear expectation
convex expectation
coherent risk measure
convex risk measure
