RISK MEASURES ON AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION
提出了一类新的风险度量，它同时考虑损失的概率和损失金额，是对经典风险价值（VaR）的推广，并给出了其对偶表示。
We propose a generalization of the classical notion of the V @ R λ that takes into account not only the probability of the losses, but the balance between such probability and the amount of the loss. This is obtained by defining a new class of law invariant risk measures based on an appropriate family of acceptance sets. The V @ R λ and other known law invariant risk measures turn out to be special cases of our proposal. We further prove the dual representation of Risk Measures on .