• 한국수학교육학회지시리즈B:순수및응용수학
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• 제25권1호
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• pp.1-5
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• 2018

It is proved that 'maximum' is actually attained in the following risk measure representation $${\rho}_m(X)={max \atop Q{\in}Q_m}E_Q[-X]$$.

• 한국수학교육학회지시리즈B:순수및응용수학
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• 제23권4호
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• pp.377-383
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• 2016

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).