摘要翻译:
本文通过满足某些简单可靠公理的凹估值算子族的概念,研究了动态凸风险测度的定义和性质。在有限时间集和有限样本空间的最简单的背景下,我们发现了一个公司寻求将其风险分散到一组子公司的自然风险转移和时间一致性性质。
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英文标题:
《Valuations and dynamic convex risk measures》
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作者:
A. Jobert and L. C. G. Rogers
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最新提交年份:
2007
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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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英文摘要:
This paper approaches the definition and properties of dynamic convex risk measures through the notion of a family of concave valuation operators satisfying certain simple and credible axioms. Exploring these in the simplest context of a finite time set and finite sample space, we find natural risk-transfer and time-consistency properties for a firm seeking to spread its risk across a group of subsidiaries.
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PDF链接:
https://arxiv.org/pdf/0709.0232