Natural risk measures View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2016-09

AUTHORS

Hirbod Assa

ABSTRACT

A coherent risk measure with a proper continuity condition cannot be defined on a large set of random variables. However, if one relaxes the sub-additivity condition and replaces it with co-monotone sub-additivity, the proper domain of risk measures can contain the set of all random variables. In this study, by replacing the sub-additivity axiom of law invariant coherent risk measures with co-monotone sub-additivity, we introduce the class of natural risk measures on the space of all bounded-below random variables. We characterize the class of natural risk measures by providing a dual representation of its members. More... »

PAGES

441-456

References to SciGraph publications

  • 2013-06. Hedging, Pareto Optimality, and Good Deals in JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
  • 2001. On law invariant coherent risk measures in ADVANCES IN MATHEMATICAL ECONOMICS
  • 1994. Non-Additive Measure and Integral in NONE
  • 2002. Robust Preferences and Convex Measures of Risk in ADVANCES IN FINANCE AND STOCHASTICS
  • 2002. Coherent Risk Measures on General Probability Spaces in ADVANCES IN FINANCE AND STOCHASTICS
  • 2015-04. Markets with random lifetimes and private values: mean reversion and option to trade in DECISIONS IN ECONOMICS AND FINANCE
  • Journal

    TITLE

    Mathematics and Financial Economics

    ISSUE

    4

    VOLUME

    10

    Author Affiliations

    Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/s11579-016-0165-9

    DOI

    http://dx.doi.org/10.1007/s11579-016-0165-9

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1037538412


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