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THE MAXIMAL PRIOR SET IN THE REPRESENTATION OF COHERENT RISK MEASURE - MaRDI portal

THE MAXIMAL PRIOR SET IN THE REPRESENTATION OF COHERENT RISK MEASURE

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DOI10.7468/JKSMEB.2016.23.4.377zbMath1358.60061OpenAlexW2598702743MaRDI QIDQ2961041

Ju Hong Kim

Publication date: 17 February 2017

Published in: The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7468/jksmeb.2016.23.4.377

zbMATH Keywords

priors coherent risk measure Choquet expectation minimal penalty function quantile fucntion

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

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