| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077658 | Insurance: Mathematics and Economics | 2006 | 9 Pages |
Abstract
Thus, an important property of risk measures for portfolio vectors is consistency with respect to various classes of convex and dependence orderings. From this perspective, we introduce and study convex risk measures for portfolio vectors defined axiomatically and further introduce two natural and easy to interprete and calculate classes of examples of risk measures for portfolio vectors and investigate their consistency properties.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Christian Burgert, Ludger Rüschendorf,