Putting order in risk measures

Journal of Banking and Finance

Volumn 26, Issue 7, 2002, Pages 1473-1486

  Frittelli, Marco ^a   Rosazza Gianin, Emanuela ^b  

^a UNIVERSITY OF FLORENCE   (Italy)

^b UNIVERSITY OF MILAN   (Italy)

Author keywords

Coherent risk measures; Convex duality; Convex risk measures; Incomplete markets; Risk measures

Indexed keywords

EID: 0036076693     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(02)00270-4     Document Type: Article

References (20)

1. Application of coherent risk measures to capital requirements in insurance
2. Thinking coherently
3. Coherent measures of risk
4. On the existence of minimax martingale measures
5. Pricing and hedging in incomplete markets
6. On dynamic measures of risk
7. Convex games and extreme points
8. Coherent risk measures on general probability spaces
9. Exponential hedging and entropic penalties
10. An overview of Value at Risk
11. Convex measures of risk and trading constraints
12. Introduction to a theory of value coherent to the no arbitrage principle
13. Representing sublinear risk measures and pricing rules
14. Back to the future
15. Risk measures and insurance premium principles
16. Conjugate duality and optimization
17. Cores of exact games I
18. Axiomatic characterization of insurance prices