Monetary Measures of Risk
classification
💱 q-fin.RM
keywords
measuresriskmonetaryadditivecashconstructdiscusseddual
read the original abstract
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal ways to construct risk measures are given and extensions to more general situations indicated.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.