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Coherent Risk Measures on General Probability Spaces
Company: ETH Zurich
Company Url: Click here to open
Year Of Publication: 2000
Month Of Publication: March
Download Count: 1181
View Count: 8266
Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 9-8-2002
Publisher: Administrator
Summary
We extend the de.nition of coherent risk measures, as introduced by Artzner, Delbaen, Eber and Heath, to general probability spaces and we show how to define such measures on the space of all random variables. We also give examplesthat relates the theory of coherent risk measures to game theory and to distorted probability measures. The mathematics are based on the characterisation of closed convex sets Ps of probability measures that satisfy the property that every random variable is integrable for at least one probability measure in the set Ps.
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Delbaen, Freddy Sign in to follow this author
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