摘要翻译：
监视装置，使用某种监视器或测量装置，观察系统随时间变化可能发生的任何变化。本文提出了一个财务状况最大风险的监测日期问题。因此，我们将要观察的系统产生于金融中的情况。我们将要使用的测量装置是对风险的时间一致的测量。在本文的第一部分，我们讨论了定义在Lp(F，R)空间中并取值于L1(G，R)的条件凸风险测度的数值表示。这将允许我们考虑L1(R)中的时间一致凸风险测度。在本文的第二部分，我们利用一个时间一致的凸风险测度定义了一个最大风险停止时间监控的抽象问题。鲁棒表示中所涉及的惩罚函数在第一次识别最大风险的时间发生质的变化。我们从稳健统计的观点讨论的一个现象。
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英文标题：
《Monitoring dates of maximal risk》
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作者：
Erick Trevino Aguilar
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最新提交年份：
2009
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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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英文摘要：
  Monitoring means to observe a system for any changes which may occur over time, using a monitor or measuring device of some sort. In this paper we formulate a problem of monitoring dates of maximal risk of a financial position. Thus, the systems we are going to observe arise from situations in finance. The measuring device we are going to use is a time-consistent measure of risk.   In the first part of the paper we discuss the numerical representation of conditional convex risk measures which are defined in a space Lp(F,R) and take values in L1(G,R). This will allow us to consider time-consistent convex risk measures in L1(R).   In the second part of the paper we use a time-consistent convex risk measure in order to define an abstract problem of monitoring stopping times of maximal risk. The penalty function involved in the robust representation changes qualitatively the time when maximal risk is for the first time identified. A phenomenon which we discuss from the point of view of robust statistics.
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PDF链接：
https://arxiv.org/pdf/0902.2756