THE MAXIMAL PRIOR SET IN THE REPRESENTATION OF COHERENT RISK MEASURE

Abstract

The set of priors in the representation of coherent risk measure is expressed in terms of quantile function and increasing concave function. We show that the set of prior, <TEX>$\mathcal{Q}_c$</TEX> in (1.2) is equal to the set of <TEX>$\mathcal{Q}_m$</TEX> in (1.6), as maximal representing set <TEX>$\mathcal{Q}_{max}$</TEX> defined in (1.7).