Abstract
Definitions and conditions for a set–valued measure of risk to have ”finite values” are given. Moreover, continuity properties for convex and non-convex risk measures are investigated. As an example, set–valued variants of Value at Risk are considered.
Originalsprache | Englisch |
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Titel des Sammelwerks | Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday |
Herausgeber*innen | Chr. Tammer, F. Heyde |
Erscheinungsort | Aachen |
Verlag | Shaker |
Seiten | 49 - 64 |
ISBN (Print) | 978-3-8322-7500-6 |
Publikationsstatus | Veröffentlicht - 2008 |