2018_EJRNL_PP_YANGHONG_CHEN_1.pdf
Terbatas Dwi Ary Fuziastuti
» ITB
Terbatas Dwi Ary Fuziastuti
» ITB
In this paper, we introduce two new classes of risk statistics, named set-valued coherent
and convex risk statistics. These new risk statistics can be considered as a kind of setvalued
extension of risk statistics introduced by Kou, Peng and Heyde (2013), and also
empirical versions of set-valued coherent and convex risk measures introduced by Jouini,
Meddeb and Touzi (2004) and Hamel (2009), respectively. Representation results for these
new introduced risk statistics are provided. Finally, we also provide some examples of setvalued
coherent and convex risk statistics.