Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077703 | Insurance: Mathematics and Economics | 2006 | 17 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Nicole Bäuerle, Alfred Müller,