Article ID Journal Published Year Pages File Type
5077703 Insurance: Mathematics and Economics 2006 17 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
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