Set-Valued Haezendonck-Goovaerts Risk Measure and Its Properties
We propose a new set-valued risk measure, which is called set-valued Haezendonck-Goovaerts risk measure. First, we construct the set-valued Haezendonck-Goovaerts risk measure and then provide an equivalent representation. The properties of the set-valued Haezendonck-Goovaerts risk measure are invest...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2017-01-01
|
| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2017/5320908 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1832555941266980864 |
|---|---|
| author | Yu Feng Yichuan Dong Jia-Bao Liu |
| author_facet | Yu Feng Yichuan Dong Jia-Bao Liu |
| author_sort | Yu Feng |
| collection | DOAJ |
| description | We propose a new set-valued risk measure, which is called set-valued Haezendonck-Goovaerts risk measure. First, we construct the set-valued Haezendonck-Goovaerts risk measure and then provide an equivalent representation. The properties of the set-valued Haezendonck-Goovaerts risk measure are investigated, which show that the set-valued Haezendonck-Goovaerts risk measure is coherent. Finally, an example of set-valued Haezendonck-Goovaerts risk measure is given, which exhibits the fact that the set-valued average value at risk is a particular case of the set-valued Haezendonck-Goovaerts risk measures. |
| format | Article |
| id | doaj-art-a5c9350904c6426696847923531334a8 |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2017-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-a5c9350904c6426696847923531334a82025-02-03T05:46:50ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2017-01-01201710.1155/2017/53209085320908Set-Valued Haezendonck-Goovaerts Risk Measure and Its PropertiesYu Feng0Yichuan Dong1Jia-Bao Liu2School of Mathematics and Statistics, Wuhan University, Wuhan, Hubei 430072, ChinaSchool of Mathematics and Statistics, Wuhan University, Wuhan, Hubei 430072, ChinaSchool of Mathematics and Physics, Anhui Jianzhu University, Hefei, Anhui 230601, ChinaWe propose a new set-valued risk measure, which is called set-valued Haezendonck-Goovaerts risk measure. First, we construct the set-valued Haezendonck-Goovaerts risk measure and then provide an equivalent representation. The properties of the set-valued Haezendonck-Goovaerts risk measure are investigated, which show that the set-valued Haezendonck-Goovaerts risk measure is coherent. Finally, an example of set-valued Haezendonck-Goovaerts risk measure is given, which exhibits the fact that the set-valued average value at risk is a particular case of the set-valued Haezendonck-Goovaerts risk measures.http://dx.doi.org/10.1155/2017/5320908 |
| spellingShingle | Yu Feng Yichuan Dong Jia-Bao Liu Set-Valued Haezendonck-Goovaerts Risk Measure and Its Properties Discrete Dynamics in Nature and Society |
| title | Set-Valued Haezendonck-Goovaerts Risk Measure and Its Properties |
| title_full | Set-Valued Haezendonck-Goovaerts Risk Measure and Its Properties |
| title_fullStr | Set-Valued Haezendonck-Goovaerts Risk Measure and Its Properties |
| title_full_unstemmed | Set-Valued Haezendonck-Goovaerts Risk Measure and Its Properties |
| title_short | Set-Valued Haezendonck-Goovaerts Risk Measure and Its Properties |
| title_sort | set valued haezendonck goovaerts risk measure and its properties |
| url | http://dx.doi.org/10.1155/2017/5320908 |
| work_keys_str_mv | AT yufeng setvaluedhaezendonckgoovaertsriskmeasureanditsproperties AT yichuandong setvaluedhaezendonckgoovaertsriskmeasureanditsproperties AT jiabaoliu setvaluedhaezendonckgoovaertsriskmeasureanditsproperties |