Law invariant convex risk measures

Capitolo di libro
Data di Pubblicazione:
2005
Citazione:
Law invariant convex risk measures / M. Frittelli, E. Rosazza Gianin (ADVANCES IN MATHEMATICAL ECONOMICS). - In: Advances in mathematical economics / [a cura di] S. Kusuoka, A. Yamazaki. - Tokyo : Springer-Verlag, 2005. - ISBN 9784431243328. - pp. 33-46 [10.1007/4-431-27233-X_2]
Abstract:
As a generalization of a result by Kusuoka (2001), we provide the representation of law invariant convex risk measures. Very particular cases of law invariant coherent and convex risk measures are also studied.
Tipologia IRIS:
03 - Contributo in volume
Keywords:
convex risk measures; coherent risk measures; law invariant risk measures
Elenco autori:
M. Frittelli, E. Rosazza Gianin
Autori di Ateneo:
FRITTELLI MARCO ( autore )
Link alla scheda completa:
https://air.unimi.it/handle/2434/29412
Titolo del libro:
Advances in mathematical economics