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On the generalized risk measures

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Abstract

In this paper, new risk measures are introduced, and the corresponding representation results are also given. These newly introduced risk measures are extensions of those introduced by Song and Yan (2009) and Karoui (2009).

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Authors and Affiliations

  1. School of Mathematics and Statistics, Nanjing Audit University, Nanjing, 211815, China

    Ai-li Zhang

  2. School of Mathematics and Statistics, Wuhan University, Wuhan, 430072, China

    Wen-yuan Wang & Yi-jun Hu

Authors
  1. Ai-li Zhang
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  2. Wen-yuan Wang
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  3. Yi-jun Hu
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Correspondence to Ai-li Zhang.

Additional information

Supported in part by the National Natural Science Foundation of China (10971157), Key Projects of Philosophy and Social Sciences Research, Ministry of Education of China (09JZD0027), The Talent Introduction Projects of Nanjing Audit University.

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Zhang, Al., Wang, Wy. & Hu, Yj. On the generalized risk measures. Appl. Math. J. Chin. Univ. 27, 281–289 (2012). https://doi.org/10.1007/s11766-012-2979-4

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  • DOI: https://doi.org/10.1007/s11766-012-2979-4

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