Putting order in risk measures

  • Frittelli M
  • Rosazza Gianin E
  • 51


    Mendeley users who have this article in their library.
  • 268


    Citations of this article.


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

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document


  • Marco Frittelli

  • Emanuela Rosazza Gianin

Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free