Risk measures for non-integrable random variables

Mathematical Finance

Volumn 19, Issue 2, 2009, Pages 329-333

  Delbaen, Freddy ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Random variables; Risk measures

Indexed keywords

EID: 62249136305     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2009.00370.x     Document Type: Article

References (8)

1. Biagini, S., and M. Frittelli (2006 On Continuity Properties and Dual Representation of Convex and Monotone Functionals on Frechet Lattices, Working Paper.
2. Cheridito, P., and T. Li (2006 Monetary Risk Measures on Maximal Subspaces of Orlicz Spaces, Working Paper Princeton University.
3. Delbaen, F. (2000 Coherent Risk Measures, Scuola Normale Superiore di Pisa.
4. Delbaen, F. (2002 Coherent Risk Measures on General Probability Spaces, Adv. Finance Stochast., 1 37.
5. Föllmer, H., and A. Schied (2002 Stochastic Finance: An Introduction in Discrete Time, Berlin : Springer.
6. Jouini, E., W. Schachermayer, and N. Touzi (2006 Law Invariant Risk Measures Have the Fatou Property, Adv. Math. Econ. 9, 49 71.
7. Krasnoselskii, M. A., and J. Ruticki (1961 Convex Functionals and Orlicz Spaces, Noordhoff : Groningen.
8. Neslehova, J., P. Embrechts, and V. Chavez-Demoulin (2006 Infinite Mean Models and the LDA for Operational Risk, J. Operat. Risk, 1 (1 3 25.