摘要
随着全球金融市场的持续动荡,金融风险度量已成为金融数学领域的研究热点,提出具有实际背景的风险度量是一个重要研究方向.对一类得到广泛关注的风险度量——扭曲风险度量,本文对其相关前沿学术成果进行详细的回顾和总结,具体涵盖基础理论以及应用领域.
With the persistent turbulence of global financial markets,research on financial risk measures has become a hot topic in the field of financial mathematics.Devising risk measures with practical background is an important research direction.For a prevalent type of risk measures,namely the distorted risk measures,this paper provides a detailed review and summary of the relevant cutting-edge academic developments.The review covers both basic theories and application fields.
作者
臧鑫
夏晨曦
杨静平
ZANG Xin;XIA Chenxi;YANG Jingping(School of Mathematics and Statistics,Beijing Jiaotong University,Beijing,100044,P.R.China;School of Mathematical Sciences,Peking University,Beijing,100871,P.R.China)
出处
《数学进展》
CSCD
北大核心
2024年第6期1121-1144,共24页
Advances in Mathematics（China）
基金
国家自然科学基金(Nos.12071016,12301598)
中央高校基本科研业务费专项资金(No.2022RC027)。
关键词
扭曲风险度量
表示性定理
最优经济资本
资本配置
最优再保险
统计估计
distortion risk measure
representation theorem
optimal economic capital
capital allocation
optimal reinsurance
statistical estimation
作者简介
臧鑫,E-mail:xzang@bjtu.edu.cn;夏晨曦,E-mail:xiacx@pku.edu.cn;通信作者:杨静平,E-mail:yangjp@math.pku.edu.cn。
