Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077129 | Insurance: Mathematics and Economics | 2011 | 12 Pages |
Abstract
In this paper, we use tools from the theory of partially ordered normed linear spaces, especially the bases of cones. This work extends the well-known results for convex and coherent risk measures. Its linchpin consists in the replacement of the riskless bond by some interior point in the cone of the space of risks, which stands as the alternative numeraire.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Dimitrios G. Konstantinides, Christos E. Kountzakis,