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.
CITATION STYLE
Frittelli, M., & Rosazza Gianin, E. (2002). Putting order in risk measures. Journal of Banking and Finance, 26(7), 1473–1486. https://doi.org/10.1016/S0378-4266(02)00270-4
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