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DOI: 10.23671/VNC.2019.21.44629
Булевозначный подход к анализу условного риска
Сапата Х. М.
Владикавказский математический журнал. 2019. Том 21. Выпуск 4.С.71-89.
Аннотация: С помощью методов булевозначного анализа устанавливается принцип переноса между теорией двойственности классической выпуклой меры риска и теорией двойственности меры условного риска. А именно, меру условного риска можно интерпретировать как классическую выпуклую меру риска в подходящей теоретико-множественной модели. Как следствие, многие свойства меры условного риска могут быть получены путем интерпретации свойств выпуклой меры риска. Иными словами, интерпретация теоремы о двойственном представлении выпуклой меры риска приводит к новой теореме о двойственном представлении меры условного риска. В качестве примера приложения устанавливается общую теорема устойчивости представлении меры условного риска и изучаются различные ее частные случаи.
Ключевые слова: булевозначный анализ, мера условного риска, теория двойственности, принцип переноса.
Образец цитирования: Zapata J. M. A Boolean Valued Analysis Approach to Conditional Risk // Владикавк. мат. журн. 2019. Т. 21, № 4. C. 71-89 (in English). DOI 10.23671/VNC.2019.21.44629
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