英文标题：
《Representation Results for Law Invariant Recursive Dynamic Deviation
Measures and Risk Sharing》
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作者：
Mitja Stadje
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最新提交年份：
2018
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英文摘要：
In this paper we analyze a dynamic recursive extension of the (static) notion of a deviation measure and its properties. We study distribution invariant deviation measures and show that the only dynamic deviation measure which is law invariant and recursive is the variance. We also solve the problem of optimal risk-sharing generalizing classical risk-sharing results for variance through a dynamic inf-convolution problem involving a transformation of the original dynamic deviation measures.
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中文摘要：
本文分析了偏差测度（静态）概念的动态递归扩展及其性质。我们研究了分布不变偏差测度，并证明了唯一具有规律不变和递归性的动态偏差测度是方差。我们还通过一个包含原始动态偏差度量变换的动态inf卷积问题，解决了将经典风险分担结果推广到方差的最优风险分担问题。
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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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