The maximal prior set in the representation of coherent risk measure

DOI10.7468/JKSMEB.2016.23.4.377MaRDI QIDQ2961041zbMATH OpenOpenAlexFDO

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

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)

Recommendations

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• On the dual representation of coherent risk measures

Cited in

(1)

• The structure of priors' set of equivalent measures

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