Back to Search
Start Over
BALAYAGE MONOTONOUS RISK MEASURES.
- Source :
- International Journal of Theoretical & Applied Finance; Nov2004, Vol. 7 Issue 7, p887-900, 14p
- Publication Year :
- 2004
-
Abstract
- We consider coherent risk measures satisfying the Fatou property which are monotonous with respect to balayage or dilatation. An equivalent condition ensuring balayage-monotonicity is given and a representation result is derived. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 02190249
- Volume :
- 7
- Issue :
- 7
- Database :
- Complementary Index
- Journal :
- International Journal of Theoretical & Applied Finance
- Publication Type :
- Academic Journal
- Accession number :
- 14910026
- Full Text :
- https://doi.org/10.1142/S0219024904002724