Systemic risk measures on general measurable spaces

DOI10.1007/s00186-016-0545-1zbMath1371.91200OpenAlexW3124158055MaRDI QIDQ343813

K. Zilch, Eduard Kromer, Ludger Overbeck

Publication date: 29 November 2016

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-016-0545-1

zbMATH Keywords

decompositionaggregation functiondual representationlocally convex-solid Riesz spacesrisk attributionsystemic risk measure

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Actuarial science and mathematical finance (91G99)

Related Items (31)

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