A Unified Approach to Risk Measure for Processes

被引：0

作者：

Meng, Meng ^{[1
]}

Hu, Shaoyong ^{[1
]}

Zhu, Ailin ^{[1
]}

Yi, Yi ^{[1
]}

机构：

[1] Inner Mongolia Finance & Econ Coll, Sch Finance, Hohhot 010051, Inner Mongolia, Peoples R China

来源：

PROCEEDINGS OF CHINA-CANADA WORKSHOP ON FINANCIAL ENGINEERING AND ENTERPRISE RISK MANAGEMENT 2011 | 2011年

关键词：

risk measure; static risk measure; dynamic risk measure; dynamic-smoothing; G-EXPECTATIONS; CONSISTENT; ORDER;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Financial risk management has been a hot topic in the interdisciplinary area of insurance and finance. In this paper, we propose a unified approach to dynamic risk measures. First, we provide a new axiom, called dynamic-smoothing for multi-period risk measure, and that has more natural financial interpretation. This axiom extends the static risk measures to dynamic framework, and greatly simplifies the proof of the representation result. Furthermore, three families of dynamic risk measures are considered and we obtained some complete mathematical representation results in the Last Section.

引用

页码：117 / 120

页数：4

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