ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY, AND ROBUST LARGE DEVIATIONS

被引：65

作者：

Foellmer, Hans ^{[1
]}

Knispel, Thomas ^{[2
]}

机构：

[1] Humboldt Univ, Inst Math, D-10099 Berlin, Germany

[2] Leibniz Univ Hannover, Inst Math Stochast, D-30167 Hannover, Germany

来源：

STOCHASTICS AND DYNAMICS | 2011年 / 11卷 / 2-3期

关键词：

Risk measures; premium principles; model ambiguity; large deviations; PRINCIPLES;

D O I：

10.1142/S0219493711003334

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study a coherent version of the entropic risk measure, both in the law-invariant case and in a situation of model ambiguity. In particular, we discuss its behavior under the pooling of independent risks and its connection with a classical and a robust large deviations bound.

引用

页码：333 / 351

页数：19

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