A representation of risk measures

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• 作者：Massimiliano Amarante
• 关键词：Risk measures ; Capacity ; Choquet integral
• 刊名：Decisions in Economics and Finance
• 出版年：2016
• 出版时间：April 2016
• 年：2016
• 卷：39
• 期：1
• 页码：95-103
• 全文大小：399 KB
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• 作者单位：Massimiliano Amarante (1)
  
  1. Université de Montréal et CIREQ, Montreal, QC, Canada
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Economic Theory
  Econometrics
  Public Finance and Economics
  Finance and Banking
  Management
  Operation Research and Decision Theory
  
• 出版者：Springer Milan
• ISSN：1129-6569

文摘

We provide a representation theorem for risk measures satisfying (1) monotonicity, (2) positive homogeneity and (3) translation invariance. As a simple corollary to our theorem, we obtain the usual representation of coherent risk measures (i.e., risk measures that are, in addition, sub-additive; see Artzner et al. in Math Finance 9:203–228, 1999).