Multivariate coherent risk measures induced by multivariate convex risk measures

被引：0
作者：
Yanhong Chen
Yijun Hu
机构：
[1] Hunan University,College of Finance and Statistics
[2] Wuhan University,School of Mathematics and Statistics
来源：
Positivity | 2020年 / 24卷
关键词：
Coherent risk measure; Convex risk measure; Multivariate risk measure; Representation result; Product space; 91B30; 91B32; 91B70;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, we study the close relationship between multivariate coherent and convex risk measures. Namely, starting from a multivariate convex risk measure, we propose a family of multivariate coherent risk measures induced by it. In return, the convex risk measure can be represented by its induced coherent risk measures. The representation result for the induced coherent risk measures is given in terms of the minimal penalty function of the convex risk measure. Finally, an example is also given.
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页码：711 / 727
页数：16
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