Risk measures in ordered normed linear spaces with non-empty cone-interior

In this paper, we use tools from the theory of partially ordered normed linear spaces, especially the bases of cones. This work extends the well-known results for convex and coherent risk measures. Its linchpin consists in the replacement of the riskless bond by some interior point in the cone of the space of risks, which stands as the alternative numeraire.

MoreLess

Year of publication:	2011
Authors:	Konstantinides, Dimitrios G. ; Kountzakis, Christos E.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 48.2011, 1, p. 111-122
Publisher:	Elsevier
Keywords:	Base of a cone Well-based cones Numeraire asset Coherent and convex risk measures Representability of risk measures

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008865415