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

DOI10.1016/J.INSMATHECO.2010.10.003MaRDI QIDQ2276210zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

base of a conecoherent and convex risk measuresnumeraire assetrepresentability of risk measureswell-based cones

Mathematics Subject Classification ID

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Cites work

• Arbitrage and equilibrium in economies with infinitely many commodities
• Automatic Continuity and Openness of Convex Relations
• Coherent measures of risk
• Coherent risk measures and good-deal bounds
• Convex measures of risk and trading constraints
• Demand functions and reflexivity
• scientific article; zbMATH DE number 3905287 (Why is no real title available?)
• scientific article; zbMATH DE number 1351867 (Why is no real title available?)
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• On convex risk measures on \(L^{p}\)-spaces
• On the extension of the Namioka-Klee theorem and on the Fatou property for risk measures
• On the Structure of Locally Solid Topologies
• Ordered linear spaces
• Pareto improving price regulation when the asset market is incomplete
• Relevant coherent measures of risk
• RISK MEASURES ON ORLICZ HEARTS

Cited in

(13)

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

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