Some representations of distorted probability functional.
Proceedings of the VI All-Russian FAM conference, v. 1, Krasnoyarsk, 2007.
(translated from Russian)
Coherent risk measures are defined axiomatically and may be represented
by a cone of admissible risks or a family of probability measures. Distorted
probability measure is a partial case of coherent risk measures and possesses
both properties. The present paper is devoted to representing a distorted probability
functional by a set of probability measures, which shows the position of distorted
probability functional among coherent risk measures.
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