Data di Pubblicazione:
2004
Citazione:
Dynamic convex risk measures / M. Frittelli, E. Rosazza Gianin - In: Risk measures for the 21th Century / [a cura di] Giorgio Szego. - New York : John Wiley & Sons, 2004. - ISBN 978-0-470-86154-7. - pp. 227-248
Abstract:
We provide a representation theorem for convex risk measures defined on L^{p}(Ω,F,P) spaces, 1≤p≤+∞, and we discuss the financial meaning of the convexity axiom.
We characterize those convex risk measures that are law invariant and show the link between convex risk measures and utility based prices in incomplete market models.
As a natural extension of the representation of convex risk measures, we introduce and study a class of dynamic convex risk measures.
Tipologia IRIS:
03 - Contributo in volume
Keywords:
risk measures ; convex risk measures ; dynamic risk measures ; entropic risk measures ; law invariant risk measures ; coherent risk measures ; g-expectations
Elenco autori:
M. Frittelli, E. Rosazza Gianin
Link alla scheda completa:
Titolo del libro:
Risk measures for the 21th Century