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dc.contributor.authorAmarante, Massimiliano
dc.date.accessioned2013-11-15T16:11:02Z
dc.date.available2013-11-15T16:11:02Z
dc.date.issued2013-10
dc.identifier.urihttp://hdl.handle.net/1866/10088
dc.publisherUniversité de Montréal. Département de sciences économiques.fr
dc.subjectRisk measures
dc.subjectCapacity
dc.subjectChoquet integral
dc.titleA Representation of Risk Measuresfr
dc.typeArticlefr
dc.contributor.affiliationUniversité de Montréal. Faculté des arts et des sciences. Département de sciences économiques
dcterms.abstractWe 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.isPartOfurn:ISSN:0709-9231
dcterms.languageengfr
UdeM.VersionRioxxVersion publiée / Version of Record
oaire.citationTitleCahier de recherche
oaire.citationIssue2013-08


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