Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk

DOI10.1287/opre.2018.1743zbMath1455.91271arXiv1707.05596OpenAlexW2738938892MaRDI QIDQ4971562

Xianhua Peng, Xue Dong He

Publication date: 12 October 2020

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.05596

zbMATH Keywords

value at risknuméraire invariancesurplus invarianceconicitycapital adequacy tests

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Related Items (4)

Minkowski deviation measures ⋮ One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles ⋮ A Theory for Measures of Tail Risk ⋮ Surplus-Invariant Risk Measures

Cites Work

• Unnamed Item
• Unnamed Item
• Stochastic finance. An introduction in discrete time.
• Diversification, protection of liability holders and regulatory arbitrage
• Axiomatic characterization of insurance prices
• Convex measures of risk and trading constraints
• Vector-valued coherent risk measures
• Liquidity-adjusted risk measures
• Excess invariance and shortfall risk measures
• Coherent Measures of Risk
• Loss-based risk measures
• Risk Measures and Efficient use of Capital
• On the Measurement of Economic Tail Risk
• Law invariant risk measures have the Fatou property
• Real Analysis and Probability
• External Risk Measures and Basel Accords

This page was built for publication: Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk