Set-valued risk statistics with the time value of money
The time value of money is a critical factor not only in risk analysis, but also in insurance and financial applications. In this paper, we consider a special class of set-valued risk statistics by introducing the time value of money. In fact, the risk statistics established by this method is closer to financial reality than traditional ones. Moreover, this new risk statistic can be uesd for the quantification of portfolio risk. By further developing the properties related to these risk statistics, we are able to derive representation results for such risk.
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