کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5129663 | 1489848 | 2017 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Set-valued risk statistics with scenario analysis
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we introduce two new classes of risk statistics, named set-valued coherent and convex risk statistics. These new risk statistics can be considered as a kind of set-valued extension of risk statistics introduced by Kou, Peng and Heyde (2013), and also empirical versions of set-valued coherent and convex risk measures introduced by Jouini, Meddeb and Touzi (2004) and Hamel (2009), respectively. Representation results for these new introduced risk statistics are provided. Finally, we also provide some examples of set-valued coherent and convex risk statistics.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 131, December 2017, Pages 25-37
Journal: Statistics & Probability Letters - Volume 131, December 2017, Pages 25-37
نویسندگان
Yanhong Chen, Yijun Hu,