Erratum: Coherent and convex risk measures for unbounded càdlàg processes (Q854288)

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scientific article; zbMATH DE number 5079148
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    Erratum: Coherent and convex risk measures for unbounded càdlàg processes
    scientific article; zbMATH DE number 5079148

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      Erratum: Coherent and convex risk measures for unbounded càdlàg processes (English)
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      8 December 2006
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      This paper is the publisher's erratum to the one published incorrectly due to the typesetting process in Finance Stoch. 9, No. 3, 369--387 (2005; Zbl 1092.91039). In the article the authors prove a theorem which shows that the requirement that coherent convex risk measures are real valued is too restrictive and it is better to let them take values in \((-\infty,\infty]\). This leads to the definition of coherent and convex monetary risk measures on \(\mathcal{R}^0\). The paper main result gives a characterization of coherent and convex monetary risk measures on \(\mathcal R^\infty\) that can be extended to coherent and convex risk measures on \(\mathcal R^0\). Two examples of coherent and convex risk measures on \(\mathcal R^0\) are given. The first one is related to the Cramér-Lundberg approach to measuring the risk of an insurance company. The second one is motivated by results of the authors [Stochastic Processes Appl. 112, No. 1, 1--22 (2004; Zbl 1114.91047)], where time consistency properties of dynamic risk measures that depend on one-dimensional random variables are studied.
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      coherent risk measures
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      convex monetary risk measures
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      coherent utility functional
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      concave monetary utility functional
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      unbounded càdlàg processes
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      extension of risk measures
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