A Representation of Risk Measures
Data(s) |
15/11/2013
15/11/2013
01/10/2013
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Resumo |
We provide a representation theorem for risk measures satisfying (i) monotonicity; (ii) positive homogeneity; and (iii) translation invariance. As a simple corollary to our theorem, we obtain the usual representation of coherent risk measures (i.e., risk measures that are, in addition, sub-additive; see Artzner et al. [2]). |
Identificador | |
Idioma(s) |
en |
Relação |
Cahier de recherche #2013-08 |
Palavras-Chave | #Risk measures #Capacity #Choquet integral |
Tipo |
Article |