论文标题
关于条件连贯和偏差风险措施的信函和风险贡献
On the Correspondence and the Risk Contribution for Conditional Coherent and Deviation Risk Measures
论文作者
论文摘要
我们为有条件的广义偏差度量提供了一个公理框架。在财务合理的假设下，我们给出条件连贯的风险度量和广义偏差措施之间的对应关系。此外，我们确定了有条件连贯的风险措施和广义偏差措施的连续时间风险贡献的概念。借助这两种不同类型的风险度量之间的对应关系，我们对其风险贡献进行了微观解释。尤其是，我们表明，时期风险措施的风险贡献仍然是一致的。我们还证明，与$ g $ - 期望相关的BSDE解决方案$（y，z）的第二个要素具有风险贡献的含义。
We give an axiomatic framework for conditional generalized deviation measures. Under financially reasonable assumptions, we give the correspondence between conditional coherent risk measures and generalized deviation measures. Moreover, we establish the notion of continuous-time risk contribution for conditional coherent risk measures and generalized deviation measures. With the help of the correspondence between these two different types of risk measures, we give a microscopic interpretation of their risk contributions. Particularly, we show that the risk contributions of time-consistent risk measures are still time-consistent. We also demonstrate that the second element of the BSDE solution $(Y, Z)$ associated with $g$-expectation has the meaning of risk contribution.
