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.
| Original language | English |
|---|---|
| Title of host publication | Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday |
| Editors | Chr. Tammer, F. Heyde |
| Place of Publication | Aachen |
| Publisher | Shaker |
| Pages | 49 - 64 |
| ISBN (Print) | 978-3-8322-7500-6 |
| Publication status | Published - 2008 |