A Representation of Risk Measures
| Data(s) |
15/11/2013
15/11/2013
01/10/2013
|
|---|---|
| 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 |