Academic Journal of Mathematical Sciences, 2026, 7(1); doi: 10.25236/AJMS.2026.070102.
Xiaobo Wen
Sichuan Minzu College, Kangding, Sichuan, 626001, China
Under the axiomatic assumption of nonlinear expectations and the basic framework of financial risk measurement, the relationship between expectations such as sub-linear expectation, sub-additive expectation, convex (concave) expectation, and financial risk measurements such as risk measurement, consistent risk measurement, and convex risk measurement is established. Furthermore, the equivalent replacements of some properties such as sub-additive, super-additive, convexity, and concaveness in the relevant definitions and theorems are deduced, and the conditions in some definitions and theorems are relaxed.
nonlinear expectation; sub-linear; convex; coherent risk measure; convex risk measurement
Xiaobo Wen. Discussion on the correspondence between nonlinear expectations and financial risk measurements. Academic Journal of Mathematical Sciences (2026), Vol. 7, Issue 1: 8-16. https://doi.org/10.25236/AJMS.2026.070102.
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