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 相关风险测度
 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
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 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 短句来源

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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. 更多
 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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