Systemic risk measures on general measurable spaces
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Publication:343813
DOI10.1007/s00186-016-0545-1zbMath1371.91200MaRDI QIDQ343813
K. Zilch, Eduard Kromer, Ludger Overbeck
Publication date: 29 November 2016
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-016-0545-1
decomposition; aggregation function; dual representation; locally convex-solid Riesz spaces; risk attribution; systemic risk measure
90B10: Deterministic network models in operations research
46N10: Applications of functional analysis in optimization, convex analysis, mathematical programming, economics
91G99: Actuarial science and mathematical finance
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