RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES
From MaRDI portal
Publication:3393974
DOI10.1111/j.1467-9965.2009.00370.xzbMath1168.91461OpenAlexW2168260491MaRDI QIDQ3393974
Publication date: 28 August 2009
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00370.x
Related Items (18)
Preferences over rich sets of random variables: on the incompatibility of convexity and semicontinuity in measure ⋮ Dual characterization of properties of risk measures on Orlicz hearts ⋮ Cash subadditive risk measures for portfolio vectors ⋮ Option spanning beyond \(L_p\)-models ⋮ Ordering of multivariate risk models with respect to extreme portfolio losses ⋮ Good deals and compatible modification of risk and pricing rule: a regulatory treatment ⋮ Risk Aversion in Regulatory Capital Principles ⋮ Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces ⋮ Maximum Lebesgue extension of monotone convex functions ⋮ On the Lebesgue property of monotone convex functions ⋮ Non asymptotic controls on a recursive superquantile approximation ⋮ When a combination of convexity and continuity forces monotonicity of preferences ⋮ Preferences over all random variables: incompatibility of convexity and continuity ⋮ Risk aggregation with dependence uncertainty ⋮ Weak topologies for modules over rings of bounded random variables ⋮ Булевозначный подход к анализу условного риска ⋮ Surplus-Invariant Risk Measures ⋮ Four theorems and a financial crisis
Cites Work
This page was built for publication: RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES