Putting order in risk measures

被引：435

作者：

Frittelli, M ^{[1
]}

Gianin, ER

机构：

[1] Univ Florence, Florence, Italy

[2] Univ Milan, Milan, Italy

来源：

JOURNAL OF BANKING & FINANCE | 2002年 / 26卷 / 07期

关键词：

risk measures; coherent risk measures; convex risk measures; incomplete markets; convex duality;

D O I：

10.1016/S0378-4266(02)00270-4

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2002 Published by Elsevier Science B.V.

引用

页码：1473 / 1486

页数：14

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