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Dynamic risk measuring under model uncertainty: taking advantage of the hidden probability measure
Dynamic risk model uncertainty hidden probability measure
2011/2/28
We study dynamic risk measures in a very general framework enabling to model uncertainty and processes with jumps. We previously showed the existence of a canonical equivalence class of probability me...
This paper gives an overview of the theory of dynamic convex risk measures for random variables in discrete time setting. We summarize robust representation results of conditional convex risk measures...