A note on natural risk statistics
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Recently Heyde, Kou and Peng [C.C. Heyde, S.G. Kou, X.H. Peng, What is a good external risk measure: Bridging the gaps between robustness, subadditivity, and insurance risk measures, 2007, preprint.] proposed the notion of a natural risk statistic associated with a finite sample that relaxes the subadditivity assumption in the classical coherent risk statistics. In this note we use convex analysis to provide alternate proofs of the representation results regarding natural risk statistics.
[1] C. Heyde,et al. What Is a Good External Risk Measure: Bridging the Gaps between Robustness, Subadditivity, and Insurance Risk Measures , 2007 .
[2] Philippe Artzner,et al. Coherent Measures of Risk , 1999 .
[3] 丸山 徹. Convex Analysisの二,三の進展について , 1977 .