Putting order in risk measures |
| |
Affiliation: | 1. Department of Statistics, London School of Economics, London, UK;2. Department of Economics, University of Verona, Verona, Italy |
| |
Abstract: | This paper introduces a set of axioms that define convex risk measures. Duality theory provides the representation theorem for these measures and the link with pricing rules. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|