Coherent Risk Measures and Upper Previsions

Abstract

In this paper coherent risk measures and other currently used risk measures, notably Value-at-Risk (V aR), are studied from the perspective of the theory of coherent imprecise previsions. We introduce the notion of coherent risk measure defined on an arbitrary set of risks, showing that it can be considered a special case of coherent upper prevision. We… (More)

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Cite this paper

@inproceedings{Pelessoni2001CoherentRM, title={Coherent Risk Measures and Upper Previsions}, author={Renato Pelessoni and Paolo Vicig}, booktitle={ISIPTA}, year={2001} }