Characterization of acceptance sets for co-monotone risk measures

Marc Oliver Rieger

Insurance: Mathematics and Economics, 2017, vol. 74, issue C, 147-152

Abstract: We present a geometric characterization of acceptance sets for monotone, co-monotone and convex risk measures on finite state spaces. Geometrically, such acceptance sets can be represented by convex polygons with edges only on certain hyperplanes. We also provide some lower dimensional examples, and study acceptance sets for value at risk and expected shortfall.

Keywords: Acceptance set; Risk measure; Co-monotonicity; Convexity; Value at risk; Expected shortfall (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:74:y:2017:i:c:p:147-152

DOI: 10.1016/j.insmatheco.2017.03.002

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