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http://dx.doi.org/10.7468/jksmeb.2016.23.4.377

THE MAXIMAL PRIOR SET IN THE REPRESENTATION OF COHERENT RISK MEASURE  

Kim, Ju Hong (Department of Mathematics, Sungshin Women's University)
Publication Information
The Pure and Applied Mathematics / v.23, no.4, 2016 , pp. 377-383 More about this Journal
Abstract
The set of priors in the representation of coherent risk measure is expressed in terms of quantile function and increasing concave function. We show that the set of prior, $\mathcal{Q}_c$ in (1.2) is equal to the set of $\mathcal{Q}_m$ in (1.6), as maximal representing set $\mathcal{Q}_{max}$ defined in (1.7).
Keywords
set of priors; coherent risk measure; Choquet expectation; quantile; minimal penalty function;
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Times Cited By KSCI : 1  (Citation Analysis)
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