Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077564 | Insurance: Mathematics and Economics | 2007 | 16 Pages |
Abstract
This paper provides some useful results for convex risk measures. In fact, we consider convex functions on a locally convex vector space E which are monotone with respect to the preference relation implied by some convex cone and invariant with respect to some numeraire ('cash'). As a main result, for any function f, we find the greatest closed convex monotone and cash-invariant function majorized by f. We then apply our results to some well-known risk measures and problems arising in connection with insurance regulation.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Damir Filipović, Michael Kupper,