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相关风险测度
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  coherent risk measures
     Conditional g-expectation and coherent risk measures
     条件g-期望与相关风险测度
短句来源
     Conditional g-expectation is applied to define (dynamic) risk measures, which satisfies the axioms of coherent (dynamic) risk measures. Then, the representation theorems of the given (dynamic) coherent risk measures are provided.
     利用倒向随机微分方程(BSDE)理论中的条件g-期望来定义风险测度及动态风险测度,证明了它们都满足相关风险测度及动态相关风险测度的公理化定义,并且给出了所定义的相关风险测度及动态相关风险测度的表示定理.
短句来源
     At the same time, some important properties of the (dynamic) coherent risk measures are followed.
     最后,给出了相关风险测度及动态相关风险测度的一些重要性质.
短句来源
  相似匹配句对
     Conditional g-expectation and coherent risk measures
     条件g-期望与相关风险测度
短句来源
     The Analyse of Financial Risk Measures
     金融风险测度分析
短句来源
     The Risk Measures Based on Seminorm
     基于半范数的风险测度
短句来源
     Distribution bounds on sums of dependent risks
     相关风险和的分布边界
短句来源
     Research on a Correlated Aggregate Claims Model
     索赔相关风险模型的研究
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  coherent risk measures
Despite the incompleteness of the market we quantify the value of this operational flexibility in the framework of coherent risk measures.
      
Exact cooperative games or non-additive measures, coherent lower previsions and coherent risk measures are mathematically essentially the same.
      
The relation between coherent risk measures, valuation bounds, and certain classes of portfolio optimization problems is established.
      
One of the key results is that coherent risk measures are essentially equivalent to generalized arbitrage bounds, named "good deal bounds" by Cerny and Hodges (1999).
      
We define (d,n)-coherent risk measures as set-valued maps from $L^\infty_d$ into $\mathbb{R}^n$ satisfying some axioms.
      
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Conditional g-expectation is applied to define (dynamic) risk measures, which satisfies the axioms of coherent (dynamic) risk measures. Then, the representation theorems of the given (dynamic) coherent risk measures are provided. At the same time, some important properties of the (dynamic) coherent risk measures are followed.

利用倒向随机微分方程(BSDE)理论中的条件g-期望来定义风险测度及动态风险测度,证明了它们都满足相关风险测度及动态相关风险测度的公理化定义,并且给出了所定义的相关风险测度及动态相关风险测度的表示定理.最后,给出了相关风险测度及动态相关风险测度的一些重要性质.

 
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