论文标题
有条件差异风险措施
Conditional divergence risk measures
论文作者
论文摘要
我们的论文有助于有条件的风险措施和有条件的确定性等效理论。我们采用了一种随机模块化方法，该方法被证明在模块化凸入分析和有条件风险度量的研究中有效。特别是，我们研究了优化确定性等效物的条件对应物。在此过程中，我们在条件$ l^{\ infty} $ - 空间中为Niveloids提供表示结果。通过采用这种表示结果，我们检索了变分公式的条件版本，以优化确定性等效物。总之，我们将此公式应用于条件熵风险度量的各种表示。
Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular approach which proved to be effective in the study of modular convex analysis and conditional risk measures. In particular, we study the conditional counterpart of optimized certainty equivalents. In the process, we provide representation results for niveloids in the conditional $L^{\infty}$-space. By employing such representation results we retrieve a conditional version of the variational formula for optimized certainty equivalents. In conclusion, we apply this formula to provide a variational representation of the conditional entropic risk measure.
