英文标题：
《Set-valued risk statistics with the time value of money》
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作者：
Fei Sun, Xiaozhi Fan, Weitao Liu
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最新提交年份：
2021
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英文摘要：
The time value of money is a critical factor not only in risk analysis, but also in insurance and financial applications. In this paper, we consider a special class of set-valued risk statistics by introducing the time value of money. In fact, the risk statistics established by this method is closer to financial reality than traditional ones. Moreover, this new risk statistic can be uesd for the quantification of portfolio risk. By further developing the properties related to these risk statistics, we are able to derive representation results for such risk.
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中文摘要：
货币的时间价值不仅在风险分析中是一个关键因素，在保险和金融应用中也是一个关键因素。本文通过引入货币的时间价值，研究了一类特殊的集值风险统计量。事实上，用这种方法建立的风险统计比传统方法更接近金融现实。此外，这种新的风险统计可以用于组合风险的量化。通过进一步开发与这些风险统计数据相关的属性，我们能够得出此类风险的表示结果。
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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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