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

DOI10.1016/J.INSMATHECO.2010.10.003zbMATH Open1233.91149OpenAlexW1977592307MaRDI QIDQ2276210FDOQ2276210

Authors: Christos E. Kountzakis, Dimitrios G. Konstantinides 

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.10.003

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zbMATH Keywords

base of a conecoherent and convex risk measuresnumeraire assetwell-based conesrepresentability of risk measures

Mathematics Subject Classification ID

Cites Work

• Coherent measures of risk
• Convex measures of risk and trading constraints
• Title not available (Why is that?)
• Ordered linear spaces
• RISK MEASURES ON ORLICZ HEARTS
• Title not available (Why is that?)
• On convex risk measures on \(L^{p}\)-spaces
• Arbitrage and equilibrium in economies with infinitely many commodities
• On the Structure of Locally Solid Topologies
• Title not available (Why is that?)
• Pareto improving price regulation when the asset market is incomplete
• Coherent risk measures and good-deal bounds
• Demand functions and reflexivity
• Relevant coherent measures of risk
• On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures
• Automatic Continuity and Openness of Convex Relations

Cited In (12)

• Generalized coherent risk measures
• Expectation of the truncated randomly weighted sums with dominatedly varying summands
• The restricted convex risk measures in actuarial solvency
• Risk measures on ordered non-reflexive Banach spaces
• Asymptotic risk decomposition for regularly varying distributions with tail dependence
• Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
• Restricted coherent risk measures and actuarial solvency
• Niveloids and their extensions: risk measures on small domains
• Capital requirements with defaultable securities
• On efficient portfolio selection using convex risk measures
• Beyond cash-additive risk measures: when changing the numéraire fails
• Coherent Risk Measures Under Dominated Variation

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