Robust representation of convex risk measures by probability measures

Finance and Stochastics

Volumn 9, Issue 4, 2005, Pages 597-608

  Krätschmer, Volker ^a  

^a SAARLAND UNIVERSITY   (Germany)

Author keywords

Convex risk measures; Risk measures; Sup functionals

Indexed keywords

EID: 24144451817     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-005-0160-0     Document Type: Article

References (8)

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5. Hoffmann-Jørgensen, J.: Probability with a view toward statistics, vol. I. New York London: Chapman & Hall 1994
6. König, H.: On some basic theorems in convex analysis. In: Korte, B. (Ed.): Modern applied mathematics - optimization and operations research. Amsterdam New York: North-Holland 1982, pp. 108-144
7. Krätschmer, V.: Coherent lower previsions and Choquet integrals. Fuzzy Sets Syst. 138, 469-484 (2003)
8. Parthasarathy, K.R.: Probability measures on metric spaces. New York London: Academic Press 1967