The Mathematical Concept of Measuring Risk

Francesca Biagini, Thilo Meyer-Brandis and Gregor Svindland ()
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Francesca Biagini: University of München, Chair of Financial Mathematics, Department of Mathematics
Thilo Meyer-Brandis: University of München, Financial Mathematics, Department of Mathematics
Gregor Svindland: University of München, Financial Mathematics, Department of Mathematics

Chapter Chapter 5 in Risk - A Multidisciplinary Introduction, 2014, pp 133-150 from Springer

Abstract: Abstract One of the key tasks in risk management is the quantification of risk implied by uncertain future scenarios which then has to be interpreted with respect to certain risk management decisions. Mathematically, the usual tool for doing so is a quantitative risk measure. The financial industry standard risk measure Value-at-Risk exhibits some serious deficiencies and a vital research activity has been ongoing to search for better alternatives. In this chapter we give an introduction to the general theory of monetary, convex, and coherent risk measures and present illustrating and motivating examples.

Keywords: Risk measures; Acceptance sets; Robust representation; Risk sharing; 91B30; 91G99 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-04486-6_5

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DOI: 10.1007/978-3-319-04486-6_5

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