Stochastic orders and risk measures: consistency and bounds (Q2507945)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic orders and risk measures: consistency and bounds |
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Stochastic orders and risk measures: consistency and bounds (English)
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5 October 2006
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The authors study the problem of the preservation of risk measures under the usual stochastic order and the convex order. They show that under some weak regularity conditions, risk measures preserve these orders, but not necessarily without these conditions. The results are used to obtain bounds on risk measures of portfolios.
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coherent risk measure
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convex risk measure
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convex order
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copula
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comonotonicity
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