A Representation of Risk Measures

Massimiliano Amarante

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

Abstract: We provide a representation theorem for risk measures satisfying (i) monotonicity; (ii) positive homogeneity; and (iii) 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.

Keywords: risk measures; capacity; Choquet integral (search for similar items in EconPapers)
JEL-codes: C65 G11 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2013
New Economics Papers: this item is included in nep-mic, nep-rmg and nep-upt
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Related works:
Journal Article: A representation of risk measures (2016)
Working Paper: A Representation of Risk Measures (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montec:11-2013

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