论文标题
货币风险措施
Monetary Risk Measures
论文作者
论文摘要
在本文中，我们研究了一般的货币风险度量（没有任何凸度或凸性弱）。货币（分别均匀同质）的风险措施可以被描述为凸（分别是凸（分别）（分别是连贯）风险措施的下部信封。证明不取决于凸和连贯的风险度量的经典表示定理。当涉及法律不变性和SSD（二阶随机优势） - 一致性时，它不是凸度（分别是连贯性），而是共鸣性凸性（分别是共生性相干性）的风险度量，可用于这种统一形式中这种较低的信封表征。提供了在VAR方面的法律不变风险度量的表示。
In this paper, we study general monetary risk measures (without any convexity or weak convexity). A monetary (respectively, positively homogeneous) risk measure can be characterized as the lower envelope of a family of convex (respectively, coherent) risk measures. The proof does not depend on but easily leads to the classical representation theorems for convex and coherent risk measures. When the law-invariance and the SSD (second-order stochastic dominance)-consistency are involved, it is not the convexity (respectively, coherence) but the comonotonic convexity (respectively, comonotonic coherence) of risk measures that can be used for such kind of lower envelope characterizations in a unified form. The representation of a law-invariant risk measure in terms of VaR is provided.
