Homogeneous Law Invariant Coherent Multiperiod Value Measures and their Limits
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概要
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The authors introduce a new notion, homogeneous law invariant coherent multiperiod value measures, and give some basic properties. Also, they give certain limit theorems on these value measures in two models, Brownian-Poisson filtration and collective risk.
- Graduate School of Mathematical Sciences, The University of Tokyoの論文
- 2007-08-27
Graduate School of Mathematical Sciences, The University of Tokyo | 論文
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