Generalized coherent risk measures in decision-making under risk.
Proceedings of the International Scientific School
"Modelling and Analysis of Safety and Risk in Complex
Systems", St.-Petersburg, 2005, p. 145-150.
Coherent risk measures have lately become a hot topic in both
theoretical research and practical applications. Since they
possess a number of disadvantages, some generalizations and
modifications have been proposed recently. In the present
paper we propose one more generalization which holds a number
of attractive properties. A representation theorem for the risk
measures class has been obtained, properties of functionals have
been established, partial cases and examples are also presented.