A Representation of Risk Measures
Article [Version of Record]
Is part ofCahier de recherche ; #2013-08
Publisher(s)Université de Montréal. Département de sciences économiques.
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. ).