Coherent Risk Measures on General Probability Spaces

We extend the definition of coherent risk measures, as introduced byArtzner, Delbaen, Eber and Heath, to general probability spaces and we show how to define such measures on the space of all random variables. We also give examples that relates the theory of coherent risk measures to game theory and to distorted probability measures...

MoreLess

Year of publication:	2000-03-01
Authors:	Delbaen, Freddy
Published in:	ETH - Department of Mathematics - Prof. Dr. Freddy Delbaen - Selected papers and Prprints
Publisher:	Technische Hochschule <Zürich>
Subject:	Wahrscheinlichkeitsverteilung \| Versicherungsprämie \| Öffentliche Verwaltung \| public administration \| Kapitalbedarf \| Super-replication

More details

Extent:	32 p. 295,41 p. application/pdf
Type of publication:	Article
Language:	English
Notes:	AFIR Colloquium - Tokyo, Japan - August ; 24-27/1999
Classification:	Management of insurance ; Insurance Industry ; Individual Conference Proceedings ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847652