| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1154431 | Statistics & Probability Letters | 2009 | 5 Pages |
Abstract
This paper investigates the relationships between coherent (convex) risk measures and Choquet expectations under the gg-expectations framework. We deduce that convex risk measures can be dominated by Choquet expectations if, and only if they are coherent risk measures.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Kun He, Mingshang Hu, Zengjing Chen,