On law invariant coherent risk measures View Full Text


Ontology type: schema:Chapter     


Chapter Info

DATE

2001

AUTHORS

Shigeo Kusuoka

ABSTRACT

The idea of coherent risk measures has been introduced by Artzner, Delbaen, Eber and Heath [1]. We think of a special class of coherent risk measures and give a characterization of it. Let (Ω, ℱ, P) be a probability space. We denote L∞(Ω, ℱ, P) by L∞. Following [1], we give the following definition. More... »

PAGES

83-95

Book

TITLE

Advances in Mathematical Economics

ISBN

978-4-431-65937-2
978-4-431-67891-5

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-4-431-67891-5_4

DOI

http://dx.doi.org/10.1007/978-4-431-67891-5_4

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1038137805


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