BALAYAGE MONOTONOUS RISK MEASURES

Johannes Leitner ()
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Johannes Leitner: Institute for Mathematical Methods in Economics, Financial and Actuarial Mathematics, Vienna University of Technology, Wiedner Hauptstraße 8-10/105, A-1040 Vienna, Austria

International Journal of Theoretical and Applied Finance (IJTAF), 2004, vol. 07, issue 07, 887-900

Abstract: We consider coherent risk measures satisfying the Fatou property which are monotonous with respect to balayage or dilatation. An equivalent condition ensuring balayage-monotonicity is given and a representation result is derived.

Keywords: Coherent risk measures; balayage; dilatation (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (9)

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DOI: 10.1142/S0219024904002724

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