Coherent Risk Measures on General Probability Spaces View Full Text


Ontology type: schema:Chapter     


Chapter Info

DATE

2002

AUTHORS

Freddy Delbaen

ABSTRACT

We extend the definition of coherent risk measures, as introduced by Artzner, Delbaen, Eber and Heath, to general probability spaces and we show how to define such measures on the space of all random variables. We also give examples that relates the theory of coherent risk measures to game theory and to distorted probability measures. The mathematics are based on the characterisation of closed convex sets Pσ of probability measures that satisfy the property that every random variable is integrable for at least one probability measure in the set Pσ. More... »

PAGES

1-37

Book

TITLE

Advances in Finance and Stochastics

ISBN

978-3-642-07792-0
978-3-662-04790-3

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-3-662-04790-3_1

DOI

http://dx.doi.org/10.1007/978-3-662-04790-3_1

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1006470847


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