Putting order in risk measures

  • Frittelli M
  • Rosazza Gianin E
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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.

Author-supplied keywords

  • Coherent risk measures
  • Convex duality
  • Convex risk measures
  • Incomplete markets
  • Risk measures

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Authors

  • Marco Frittelli

  • Emanuela Rosazza Gianin

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