Risk measures on the space of infinite sequences

DOI10.1007/s11579-010-0023-0zbMath1255.91174OpenAlexW2171793383MaRDI QIDQ1932527

Hirbod Assa, Manuel Morales

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-010-0023-0

zbMATH Keywords

characterization theoremD81natural risk statisticsC00C44G32generalization of risk measures

Mathematics Subject Classification ID

Related Items (3)

Regulator-based risk statistics with scenario analysis ⋮ Quasiconvex risk statistics with scenario analysis ⋮ A Comparison of the GAI Model and the Choquet Integral w.r.t. a k-ary Capacity

Cites Work

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• Axiomatic characterization of insurance prices
• Convex measures of risk and trading constraints
• A note on natural risk statistics
• Coherent Measures of Risk
• Robustness and sensitivity analysis of risk measurement procedures

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