Since the portfolio has become a hot topic, we wii introduce a special risk statistics from the perspective of loss . This new risk statistic can be uesd for the quantification of portfolio risk. Representation results are provided . Finally, examples are also given to demonstrate the application prospect of this risk statistic.
The portfolio 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 regulator . This new risk statistic can be uesd for the quantification of portfolio risk. By further developing the axioms related to regulator-based risk statistics, we are able to derive dual representation for them . Finally, examples are also given to demonstrate the application of this risk statistic.
R
Since the portfolio has become a hot topic, we wii introduce a special
The portfolio 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
R
loss
regulator
R
Representation results are provided
By further developing the axioms related to regulator-based risk statistics, we are able to derive dual representation for them
D
prospect