The maximal prior set in the representation of coherent risk measure

DOI10.7468/JKSMEB.2016.23.4.377zbMATH Open1358.60061OpenAlexW2598702743MaRDI QIDQ2961041FDOQ2961041

Authors: Ju Hong Kim 

Publication date: 17 February 2017

Published in: The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7468/jksmeb.2016.23.4.377

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zbMATH Keywords

coherent risk measurepriorsChoquet expectationminimal penalty functionquantile fucntion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cited In (1)

• The structure of priors' set of equivalent measures

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