A Note on Natural Risk Statistics

Recently Heyde, Kou and Peng (2007) proposed the notion of a natural risk statistic associated with a finite sample that relaxes the subadditivity assumption in the classical coherent risk statistics. In this note we use convex analysis to provide alternate proofs of the representation results regarding natural risk statistics.


Published in:
Operations Research Letters , 36, 6, 662-664
Year:
2008
Publisher:
Elsevier
ISSN:
0167-6377
Keywords:
Laboratories:




 Record created 2010-04-25, last modified 2018-03-17

n/a:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)