条件发散风险度量
Conditional divergence risk measures
摘要：
我们的论文有助于理论的条件风险措施和条件确定性等价物。我们采用了一种随机模方法，该方法在模凸分析和条件风险度量的研究中被证明是有效的。特别是，我们研究了优化的确定性等价物的条件对应。在这个过程中，我们提供的条件$L^{\infty}$ -空间的niveloids的表示结果。通过采用这样的表示结果，我们检索优化的确定性等价物的变分公式的条件版本。最后，我们应用这个公式提供了一个变分表示的条件熵风险度量。
英文摘要：
Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular approach which proved to be effective in the study of modular convex analysis and conditional risk measures. In particular, we study the conditional counterpart of optimized certainty equivalents. In the process, we provide representation results for niveloids in the conditional $L^{\infty}$-space. By employing such representation results we retrieve a conditional version of the variational formula for optimized certainty equivalents. In conclusion, we apply this formula to provide a variational representation of the conditional entropic risk measure.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
