Since the money is of time value, we will study a new class of risk statistics , named cash sub-additive risk statistics in this paper . This new class of risk statistics can be considered as a kind of risk extension of risk statisticsintroduced by Kou, Peng and Heyde (2013), and also data-based versions of cash sub-additive riskmeasures introduced by El Karoui and Ravanelli (2009) and Sun and Hu (2019) .
The portfolios are a critical factor not only in risk analysis, but also in insurance and financial applications. In this paper, we consider a special class of risk statistics from the perspective of time value of the money . This new risk statistic can be uesd for the quantification of portfolio risk. By further developing the properties related to cash sub-additive risk statistics, we are able to derive representation results for such risk .
R
Since the money is of time value, we will study a new
The portfolios are a critical factor not only in risk analysis, but also in insurance and financial applications. In this paper, we consider a special
R
, named cash sub-additive risk statistics in this paper
from the perspective of time value of the money
D
class of risk statistics can be considered as a kind of
R
extension of risk statisticsintroduced by Kou, Peng and Heyde (2013), and also data-based versions of cash sub-additive riskmeasures introduced by El Karoui and Ravanelli (2009) and Sun and Hu (2019)
statistic can be uesd for the quantification of portfolio risk. By further developing the properties related to cash sub-additive risk statistics, we are able to derive representation results for such risk