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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2016.1
- 수록면
- 377 - 383 (7page)
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초록· 키워드
오류제보하기
The set of priors in the representation of coherent risk measure is expressed in terms of quantile function and increasing concave function. We show that the set of prior, Qc in (1.2) is equal to the set of Qm in (1.6), as maximal representing set Qmax defined in (1.7).
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등록된 정보가 없습니다.
참고문헌 (8)
참고문헌 신청
Z. Chen / 2005 / Choquet expectation and Peng's g-expectation / The Annals of Probability 33:1179~1199
G. Choquet / 1953 / Theory of capacities / Ann. Inst. Fourier (Grenoble) 5:131~195
H. FÄollmer / 2004 / Stochastic Finance: An introduction in discrete time / Walter de Gruyter
김주홍 / 2015 / THE SET OF PRIORS IN THE REPRESENTATION OF CHOQUET EXPECTATION WHEN A CAPACITY IS SUBMODULAR / 순수 및 응용수학 22(4):333~342
S. Kusuoka / 2001 / Advances in Mathematical Economics. Vol. 3 / Springer :83~95
G. Choquet / 1953 / Theory of capacities / Ann. Inst. Fourier (Grenoble) 5:131~195
H. FÄollmer / 2004 / Stochastic Finance: An introduction in discrete time / Walter de Gruyter
김주홍 / 2015 / THE SET OF PRIORS IN THE REPRESENTATION OF CHOQUET EXPECTATION WHEN A CAPACITY IS SUBMODULAR / 순수 및 응용수학 22(4):333~342
S. Kusuoka / 2001 / Advances in Mathematical Economics. Vol. 3 / Springer :83~95
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