英文标题：
《On the Coherent Risk Measure Representations in the Discrete Probability
Spaces》
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作者：
Kerem Ugurlu
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最新提交年份：
2014
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英文摘要：
We give a complete characterization of both comonotone and not comonotone coherent risk measures in the discrete finite probability space, where each outcome is equally likely. To the best of our knowledge, this is the first work that characterizes \\textit{and} distinguishes comonotone and not comonotone coherent risk measures via a simplified AVaR representation in this probability space, which is crucial in applications and simulations.
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中文摘要：
在离散有限概率空间中，我们给出了共单调和非共单调一致风险测度的完整刻画，其中每个结果的可能性相同。据我们所知，这是第一个通过概率空间中的简化AVaR表示来区分共单调和非共单调相干风险度量的工作，这在应用和模拟中至关重要。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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