Stochastic orders and risk measures : consistency and bounds

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000nab a2200000 i 4500</leader>
    <controlfield tag="001">MAP20071507749</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20080418125634.0</controlfield>
    <controlfield tag="007">hzrazu---bucu</controlfield>
    <controlfield tag="008">060310q2006    gbr||||    | |00010|eng d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1="1" ind2=" ">
      <subfield code="0">MAPA20080123024</subfield>
      <subfield code="a">Bauerle, Nicole</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Stochastic orders and risk measures</subfield>
      <subfield code="b">: consistency and bounds</subfield>
      <subfield code="c">Nicole Baüerle and Alfred Müller</subfield>
    </datafield>
    <datafield tag="520" ind1="8" ind2=" ">
      <subfield code="a">In this article it's investigated the problem of consistency of risk measures with respect to usual stochastic order and convex order. This result is used to derive bounds for risk measures of portfolios. As a by-product, it's extended the characterization of coherent, law-invariant risk measures with the Fatou poperty to unbounded random variables</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="1">
      <subfield code="0">MAPA20080555306</subfield>
      <subfield code="a">Mortalidad</subfield>
    </datafield>
    <datafield tag="650" ind1="1" ind2="1">
      <subfield code="0">MAPA20080555016</subfield>
      <subfield code="a">Longevidad</subfield>
    </datafield>
    <datafield tag="650" ind1="0" ind2="1">
      <subfield code="0">MAPA20080599300</subfield>
      <subfield code="a">Tablas de mortalidad</subfield>
    </datafield>
    <datafield tag="650" ind1="0" ind2="1">
      <subfield code="0">MAPA20080602437</subfield>
      <subfield code="a">Matemática del seguro</subfield>
    </datafield>
    <datafield tag="650" ind1="0" ind2="1">
      <subfield code="0">MAPA20080586447</subfield>
      <subfield code="a">Modelo estocástico</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20080109554</subfield>
      <subfield code="a">Müller, Alfred</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="d">Oxford: Elsevier Science</subfield>
      <subfield code="t">Insurance Mathematics & Economics</subfield>
      <subfield code="g"> nº 38, 2006 ; p. 132-148</subfield>
    </datafield>
  </record>
</collection>