کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077703 1374147 2006 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stochastic orders and risk measures: Consistency and bounds
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Stochastic orders and risk measures: Consistency and bounds
چکیده انگلیسی
We investigate the problem of consistency of risk measures with respect to usual stochastic order and convex order. It is shown that under weak regularity conditions risk measures preserve these stochastic orders. This result is used to derive bounds for risk measures of portfolios. As a by-product, we extend the characterization of coherent, law-invariant risk measures with the Fatou property to unbounded random variables.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 38, Issue 1, 24 February 2006, Pages 132-148
نویسندگان
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