This paper introduces a set of axioms that define convex risk measures. Duality theory provides the representation theorem for these measures and the link with pricing rules. © 2002 Published by Elsevier Science B.V.
Frittelli, M., ROSAZZA GIANIN, E. (2002). Putting order in risk measures. JOURNAL OF BANKING & FINANCE, 26(7), 1473-1486 [10.1016/S0378-4266(02)00270-4].
Putting order in risk measures
ROSAZZA GIANIN, EMANUELA
2002
Abstract
This paper introduces a set of axioms that define convex risk measures. Duality theory provides the representation theorem for these measures and the link with pricing rules. © 2002 Published by Elsevier Science B.V.
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