Continuity and Finite-Valuedness of Set-Valued Risk Measures

Andreas Hamel; Birgit Rudloff

Continuity and Finite-Valuedness of Set-Valued Risk Measures

Andreas Hamel
, Birgit Rudloff

Statistics and Mathematics

Publikation: Beitrag in Buch/Konferenzband › Beitrag in Sammelwerk

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
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

Andere Dateien und Links

http://www.princeton.edu/~brudloff/Hamel-Rudloff-08.pdf

Zitat

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