Generalized Coherent Risk Measures in Decision-making under Risk
نویسنده
چکیده
Coherent risk measures have lately become a hot topic in both theoretical research and practical applications. Since they possess a number of disadvantages, some generalizations and modifications have been proposed recently. In the present paper we propose one more generalization which holds a number of attractive properties. A representation theorem for the risk measures class has been obtained, properties of functionals have been established, partial cases and examples are also presented.
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تاریخ انتشار 2005