| 基于情景分析的多维拟凸风险统计量 |
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| 引用本文： | 邓勇,胡亦钧. 基于情景分析的多维拟凸风险统计量[J]. 应用概率统计, 2022, 0(1) |
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| 作者姓名： | 邓勇 胡亦钧 |
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| 作者单位： | 长沙师范学院预科教育学院;武汉大学数学与统计学院 |
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| 基金项目： | 国家自然科学基金项目(批准号:11771343)资助. |
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| 摘 要： | 本文定义了三类特殊的多维风险统计量,分别是多维共单调拟凸风险统计量、多维拟凸风险统计量和多维经验分布不变拟凸风险统计量,并采用对偶方法给出了它们的表示定理.本文的结果既是一维拟凸风险统计量的推广,也是多维凸风险统计量的拓展.
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| 关 键 词： | 拟凸风险统计量 多维风险度量 共单调 情景分析 |
Multivariate Quasiconvex Risk Statistics with Scenario Analysis |
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| DENG Yong,HU Yijun. Multivariate Quasiconvex Risk Statistics with Scenario Analysis[J]. Chinese Journal of Applied Probability and Statisties, 2022, 0(1) |
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| Authors: | DENG Yong HU Yijun |
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| Affiliation: | (School of preparatory education,Changsha Normal University,Changsha,410100,China;School of Mathematics and Statistics,Wuhan University,Wuhan,430072,China) |
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| Abstract: | In this paper,we introduce three new classes of multivariate risk statistics,named multivariate comonotonic quasiconvex risk statistics,multivariate quasiconvex risk statistics and multivariate empirical-law-invariant quasiconvex risk statistics,respectively.Representation results for them are provided by dual method.The results of this paper is not only the generalization of one-dimensional quasiconvex risk statistics,but also the extension of multivariate convex risk statistics. |
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| Keywords: | quasiconvex risk statistics multivariate risk measures comonotonicity scenario analysis |
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