摘要翻译：
本文给出了由缺额风险引起的未定权益在一定损失函数下的好交易定价界。我们对损失函数和未定索赔的假设是非常温和的。我们证明了好交易定价界的上下界是用Orlicz心上的凸风险测度表示的。另外，我们用最小罚函数得到了它的表示。此外，我们给出了两种简单情况下的好交易界的表示，并计算了当索赔在其好交易定价界的上界或下界交易时的最优策略。
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英文标题：
《Good deal bounds induced by shortfall risk》
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作者：
Takuji Arai
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  We shall provide in this paper good deal pricing bounds for contingent claims induced by the shortfall risk with some loss function. Assumptions we impose on loss functions and contingent claims are very mild. We prove that the upper and lower bounds of good deal pricing bounds are expressed by convex risk measures on Orlicz hearts. In addition, we obtain its representation with the minimal penalty function. Moreover, we give a representation, for two simple cases, of good deal bounds and calculate the optimal strategies when a claim is traded at the upper or lower bounds of its good deal pricing bound.
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PDF链接：
https://arxiv.org/pdf/0802.4141