静态多维风险度量研究

数学物理学报 ›› 2019, Vol. 39 ›› Issue (2): 393-401.

静态多维风险度量研究

刘红卫¹,肖彩波^2,*(),胡亦钧³

¹ 西藏大学理学院拉萨 850000
² 河北经贸大学公共管理学院石家庄 050061
³ 武汉大学数学与统计学院武汉 430072

收稿日期:2018-02-01 出版日期:2019-04-26 发布日期:2019-05-05
通讯作者: 肖彩波 E-mail:28@163.com
基金资助:
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);国家自然科学基金(11771343)

Static Multidimensional Risk Measures Research

Hongwei Liu¹,Caibo Xiao^2,*(),Yijun Hu³

¹ School of Science, Tibet University, Lhasa 850000
² School of Public Administration, Hebei University of Economics and Business, Shijiazhuang 050061
³ School of Mathematics and Statistics, Wuhan University, Wuhan 430072

Received:2018-02-01 Online:2019-04-26 Published:2019-05-05
Contact: Caibo Xiao E-mail:28@163.com
Supported by:
the Everest scholars Foundation of Tibet University(2016141);the Philosophy and Social Science Foundation of Tibet Autonomous Region(2017ASH001);the NSFC(51768063);the NSFC(11771343)

摘要/Abstract

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.

关键词: 多维风险度量, 可接受集, Fenchel-Moreau定理, 表示定理

Abstract:

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.

Key words: Multidimensional risk measures, Acceptable set, Fenchel-Moreau theorem, Representation theorem

中图分类号:

F830.9

刘红卫,肖彩波,胡亦钧. 静态多维风险度量研究[J]. 数学物理学报, 2019, 39(2): 393-401.

Hongwei Liu,Caibo Xiao,Yijun Hu. Static Multidimensional Risk Measures Research[J]. Acta mathematica scientia,Series A, 2019, 39(2): 393-401.

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