Permalink: http://hdl.handle.net/1866/10088
A Representation of Risk Measures
Article [Version of Record]
Is part of
Cahier de recherche ; no. 2013-08.Publisher(s)
Université de Montréal. Département de sciences économiques.Author(s)
Affiliation
Keywords
Abstract(s)
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]).