A representation of risk measures

Massimiliano Amarante

Decisions in Economics and Finance, 2016, vol. 39, issue 1, No 5, 95-103

Abstract: Abstract We provide a representation theorem for risk measures satisfying (1) monotonicity, (2) positive homogeneity and (3) translation invariance. As a simple corollary to our theorem, we obtain the usual representation of coherent risk measures (i.e., risk measures that are, in addition, sub-additive; see Artzner et al. in Math Finance 9:203–228, 1999).

Keywords: Risk measures; Capacity; Choquet integral (search for similar items in EconPapers)
JEL-codes: C65 G11 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Working Paper: A Representation of Risk Measures (2013)
Working Paper: A Representation of Risk Measures (2013)
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DOI: 10.1007/s10203-016-0170-8

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