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Set-valued risk statistics with scenario analysis

Penulis : YANGHONG CHEN [-]
Kontributor / Dosen Pembimbing :
  • Yijun Hu
Jenis Koleksi : Jurnal elektronik
Tahun Terbit :
Penerbit : Matematika
Fakultas : Fakultas Matematika dan Ilmu Pengetahuan Alam
Subjek : Analysis
Kata Kunci : Set-valued risk statistics, Convexity, Coherency, Representation results
Sumber : Statistics and Probability Letters 131 (2017) 25–37
Staf Input/Edit : Dwi Ary Fuziastuti  
File : 1 file
Tanggal Input : 20 Des 2018

2018_EJRNL_PP_YANGHONG_CHEN_1.pdf
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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.

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