On Estimation of Choquet Integral Risk Measures

Tran Gia Tung

《管理科學與統計決策》 7卷2期 (2010/06) Pp. 1-11

https://doi.org/10.6704/JMSSD.2010.7.2.1

並列摘要

This work focuses on the theoretical framework for estimating financial risk measures. We propose and discuss various estimation procedures, namely estimation using Lorenz curves, estimation via random sets, and estimation under risk neutral distributions. We also touch upon the above estimation procedures when the underlying distribution is heavy-tailed.

並列關鍵字

Choquet integral ； Distorted probabilities ； Heavy-tailed distributions ； Levy processes ； Lorenz curves ； Option pricing ； Random sets ； Risk measures ； Risk neutral probabilities

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