On law invariant coherent risk measures
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The idea of coherent risk measures has been introduced by Artzner, Delbaen, Eber and Heath [1]. We think of a special class of coherent risk measures and give a characterization of it. Let (Ω, ℱ, P) be a probability space. We denote L ∞(Ω, ℱ, P) by L ∞. Following [1], we give the following definition.
[1] David Williams,et al. Probability with Martingales , 1991, Cambridge mathematical textbooks.
[2] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[3] F. Delbaen. Coherent Risk Measures on General Probability Spaces , 2002 .