A Representation of Risk Measures
| dc.contributor.author | Amarante, Massimiliano | |
| dc.date.accessioned | 2013-11-15T16:11:02Z | |
| dc.date.available | 2013-11-15T16:11:02Z | |
| dc.date.issued | 2013-10 | |
| dc.identifier.uri | http://hdl.handle.net/1866/10088 | |
| dc.publisher | Université de Montréal. Département de sciences économiques. | fr |
| dc.subject | Risk measures | |
| dc.subject | Capacity | |
| dc.subject | Choquet integral | |
| dc.title | A Representation of Risk Measures | fr |
| dc.type | Article | fr |
| dc.contributor.affiliation | Université de Montréal. Faculté des arts et des sciences. Département de sciences économiques | |
| dcterms.abstract | We provide a representation theorem for risk measures satisfying (i) monotonicity; (ii) positive homogeneity; and (iii) translation invariance. As a simple corollary to our theorem, we obtain the usual representation of coherent risk measures (i.e., risk measures that are, in addition, sub-additive; see Artzner et al. [2]). | fr |
| dcterms.isPartOf | urn:ISSN:0709-9231 | |
| dcterms.language | eng | fr |
| UdeM.VersionRioxx | Version publiée / Version of Record | |
| oaire.citationTitle | Cahier de recherche | |
| oaire.citationIssue | 2013-08 |
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