한국수학교육학회지시리즈B:순수및응용수학 (The Pure and Applied Mathematics)

  • 제16권1호
  • /
  • Pages.121-131
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  • 2009
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  • 1226-0657(pISSN)
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  • 2287-6081(eISSN)
한국수학교육학회 (Korean Society of Mathematical Education)
권호 표지

ON RELATION AMONG COHERENT, DISTORTION AND SPECTRAL RISK MEASURES

  • Kim, Ju-Hong (Department of Mathematics, Sungshin Women's University)
  • 발행 : 2009.02.28
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초록

In this paper we examine the relation among law-invariant coherent risk measures with the Fatou property, distortion risk measures and spectral risk measures, and give a new proof of the relation among them. It is also shown that the spectral risk measure satisfies the monotonicity with respect to stochastic dominance and the comonotonic additivity.

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참고문헌

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