| 摘要: |
| 本文研究了在险值和Lp-空间上的连续一致风险度量之间的关系.利用凸集分离定理和截尾逼近方法,获得了在险值可以用Lp-空间上的连续一致风险度量表示的结果,并且得到了Lp-空间上的表示定理的一种新的证明方法.它们分别是文献[2]的相关结论从L∞-空间到Lp-空间上的推广和对Inoue[4]做的一些补充证明. |
| 关键词: Lp-空间 连续一致风险度量 在险值 |
| DOI： |
| 分类号:O211.9 |
| 基金项目:Supported by National Natural Science Foundation of China (11371284). |
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| VALUE-AT-RISK AND CONTINUOUS COHERENT RISK MEASURES ON LP-SPACE |
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CHEN Yan-hong, HU Yi-jun
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School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China
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| Abstract: |
| In this paper, we study the relation between value-at-risk and continuous coherent risk measures on Lp-space. By using the separation theorem for convex sets and the truncated approximation method, we obtain that VaR can be represented by continuous coherent risk measures on Lp-space. Meanwhile, we get a new method to prove the representation result for the continuous coherent risk measures on Lp-space, which extend the results in[2] from L∞-space to Lp-space, and do some complements of that of Inoue[4], respectively. |
| Key words: Lp-space continuous coherent risk measures value at risk |
