Risk measure via Choquet integral

摘要：

In this paper, we obtain the sufficient condition for a risk measure defined by Choquet integral is not only coherent risk measure but also convex risk measure. Some properties about coherent (convex) risk measures are investigated and Jensens inequality and dominated convergence theorem for generalized risk measure are presented.

关键词： capacity Choquet integral risk Measure

作者: Defei Zhang Ping He

作者单位: Department of Mathematics, Honghe University,Mengzi, 661100, China Department of Mathematics,Shandon Department of Mathematics,Honghe University,Mengzi, 661100, China

会议类型: 国际会议

会议名称: The Fourth International Joint Conference on Computational Science and Optimization(第四届计算科学与优化国际大会 CSO 2011)

会议地点: 昆明、丽江

会议语种:英文

页码: 1236-1239

在线出版日期: 2011-04-15（万方平台首次上网日期，不代表论文的发表时间）