A Representation of Risk Measures


Autoria(s): Amarante, Massimiliano
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

http://hdl.handle.net/1866/10088

Idioma(s)

en

Relação

Cahier de recherche #2013-08

Palavras-Chave #Risk measures #Capacity #Choquet integral
Tipo

Article