分布不变凸风险测度的表示定理及其性质
发布时间：2018-12-31 16:33
【摘要】：金融风险管理是现代金融理论的三大支柱之一,而风险管理的基础工作是运用金融风险测度对风险进行度量.本文先介绍风险、风险测度、和一致风险测度的定义及相关性质;然后对一致性框架进行进一步的推广,提出凸性风险测度的概念及对一些性质进行了进一步的研究;最后在已有的一致风险测度和凸风险测度的基础上,本文进行了更深层次的研究,结合分布不变性和下半连续性公理,提出了分布不变凸风险测度的基本特性和一些表示定理.
[Abstract]:Financial risk management is one of the three pillars of modern financial theory, and the basic work of risk management is to measure risk by financial risk measurement. This paper first introduces the definition and related properties of risk, risk measure and consistent risk measure, then generalizes the consistency framework, puts forward the concept of convexity risk measure and further studies some properties. Finally, on the basis of the consistent risk measure and convex risk measure, this paper studies the distribution invariance and lower semi-continuity axioms, and puts forward the basic characteristics and some representation theorems of the distributed invariant convex risk measure.
【学位授予单位】：西北师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830;F224
本文编号：2396840
[Abstract]:Financial risk management is one of the three pillars of modern financial theory, and the basic work of risk management is to measure risk by financial risk measurement. This paper first introduces the definition and related properties of risk, risk measure and consistent risk measure, then generalizes the consistency framework, puts forward the concept of convexity risk measure and further studies some properties. Finally, on the basis of the consistent risk measure and convex risk measure, this paper studies the distribution invariance and lower semi-continuity axioms, and puts forward the basic characteristics and some representation theorems of the distributed invariant convex risk measure.
【学位授予单位】：西北师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830;F224
【参考文献】
相关期刊论文 前1条
1 文平;;基于半范数的风险测度[J];数学的实践与认识;2006年03期
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