This paper introduces a set of axioms that define convex risk measures. Duality theory provides the representation theorem for these measures and the link with pricing rules.
Putting order in risk measures / M. Frittelli, E. Rosazza Gianin. - In: JOURNAL OF BANKING & FINANCE. - ISSN 0378-4266. - 26:7(2002), pp. 1473-1486.
Putting order in risk measures
M. FrittelliPrimo
;
2002
Abstract
This paper introduces a set of axioms that define convex risk measures. Duality theory provides the representation theorem for these measures and the link with pricing rules.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
