Journal of Risk Model Validation
ISSN:
1753-9579 (print)
1753-9587 (online)
Editor-in-chief: Steve Satchell

Need to know
- The nonweak cone-type acceptable sets with p-norm (1 ≤ p ≤ ∞) are proposed to evaluate the corresponding risk measure.
- A convex extension of the nonconvex noncash risk measure with p-norm is given associated with the nonweak cone-type acceptable sets.
- A representation theorem of the nonconvex noncash risk measures is achieved.
Abstract
In 2018, Cong and Zhao introduced noncash risk measures with 1-norm for weak cone-type acceptable sets. In the present paper, we take a further look at nonconvex, noncash risk measures with p-norm (1 ≤ p ≤ ∞) for nonweak cone-type acceptable sets. A convex extension of the nonconvex, noncash risk measures is given and a representation theorem of a convex extension of the nonconvex, noncash risk measures is achieved.
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Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
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