The relations among the three kinds of conditional risk measures
type: Item
instance of: scholarly article
title: The relations among the three kinds of conditional risk measures
zbMATH Open document ID: 1316.46004
author: Shien Zhao
author: Tiexin Guo
author: Xiao Lin Zeng
published in: Science China. Mathematics
publication date: 2014-12-02T00:00:00Z
review text: The paper studies the relations among the three kinds of conditional risk measures, so-called \(L^{\infty}({\mathcal E})\)-conditional risk measure, \(L^{p}({\mathcal E})\)-conditional risk measure (\(1\leq p<+\infty\)) and \(L^{p}_{{\mathcal F}}({\mathcal E})\)-conditional risk measure. Most of the results of this paper were announced in \textit{T. Guo}'s survey paper [Sci. China, Math. 54, No. 4, 633--660 (2011; Zbl 1238.46058)], but without detailed proofs. The present paper fills this gap out. Also, this paper is the third part of the authors' manuscript ``On random convex analysis -- the analytic foundation of the module approach to conditional risk measures'' [Preprint, \url{arXiv:1210.1848}].
reviewed by: Anatoliy Swishchuk
Mathematics Subject Classification ID: 46A22
Mathematics Subject Classification ID: 46A25
Mathematics Subject Classification ID: 46H25
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 6376167
zbMATH Keywords: random normed module
zbMATH Keywords: countable concatenation property
zbMATH Keywords: \(L^{\infty}({\mathcal E})\)-conditional risk measure
zbMATH Keywords: \(L^{p}({\mathcal E})\)-conditional risk measure (\(1\leq p< +\infty\))
zbMATH Keywords: \(L^{p}_{{\mathcal F}}({\mathcal E})\)-conditional risk measure
zbMATH Keywords: extension
MaRDI profile type: Publication
full work available at URL: s11425-014-4840-0
OpenAlex ID: W1973114228
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DOI: 10.1007/S11425-014-4840-0
description: scientific article; zbMATH DE number 6376167