Modern risk systems
Papers published in 2007

Companion sites: Russian version


  1. Novosyolov A.A. Some representations of distorted probability functional. Proceedings of the VI All-Russian FAM conference, v. 1, Krasnoyarsk, 2007. (translated from Russian)

    Abstract. 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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