On the worst conditional expectation

被引：30

作者：

Inoue, A ^{[1
]}

机构：

[1] Hokkaido Univ, Fac Sci, Dept Math, Sapporo, Hokkaido 0600810, Japan

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2003年 / 286卷 / 01期

关键词：

coherent risk measure; worst conditional expectation; Neyman-Pearson lemma;

D O I：

10.1016/S0022-247X(03)00477-3

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study continuous coherent risk measures on L-p, in particular, the worst conditional expectations. We show some representation theorems for them, extending the results of Artzner, Delbaen, Eber, Heath, and Kusuoka. (C) 2003 Elsevier Inc. All rights reserved.

引用

页码：237 / 247

页数：11

共 7 条

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Delbaen, F ;

Eber, JM ;

Heath, D .

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[3]

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[4]

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[5]

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[7]

Williams D, 1991, Probability with martingales

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