A note on natural risk statistics

被引：16

作者：

Ahmed, Shabbir ^{[2
]}

Filipovic, Damir ^{[3
,4
]}

Svindland, Gregor ^{[1
]}

机构：

[1] Univ Munich, Math Inst, D-80333 Munich, Germany

[2] Georgia Inst Technol, H Milton Stewart Sch Ind & Syst Engn, Atlanta, GA 30332 USA

[3] Univ Vienna, Vienna Inst Finance, A-1010 Vienna, Austria

[4] Vienna Univ Econ & Business Adm, A-1190 Vienna, Austria

来源：

OPERATIONS RESEARCH LETTERS | 2008年 / 36卷 / 06期

关键词：

Natural and coherent risk statistics; Convex analysis;

D O I：

10.1016/j.orl.2008.06.009

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

Recently Heyde, Kou and Peng [C.C. Heyde, S.G. Kou, X.H. Peng, What is a good external risk measure: Bridging the gaps between robustness, subadditivity, and insurance risk measures, 2007, preprint.] proposed the notion of a natural risk statistic associated with a finite sample that relaxes the subadditivity assumption in the classical coherent risk statistics. In this note we use convex analysis to provide alternate proofs of the representation results regarding natural risk statistics. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：662 / 664

页数：3