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Stochastic orders and risk measures : consistency and bounds

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Tag12Valor
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007  hzrazu---bucu
008  060310q2006 gbr|||| | |00010|eng d
040  ‎$a‎MAP‎$b‎spa
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1001 ‎$0‎MAPA20080123024‎$a‎Bauerle, Nicole
24510‎$a‎Stochastic orders and risk measures‎$b‎: consistency and bounds‎$c‎Nicole Baüerle and Alfred Müller
5208 ‎$a‎In 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
650 1‎$0‎MAPA20080555306‎$a‎Mortalidad
65011‎$0‎MAPA20080555016‎$a‎Longevidad
65001‎$0‎MAPA20080599300‎$a‎Tablas de mortalidad
65001‎$0‎MAPA20080602437‎$a‎Matemática del seguro
65001‎$0‎MAPA20080586447‎$a‎Modelo estocástico
7001 ‎$0‎MAPA20080109554‎$a‎Müller, Alfred
7730 ‎$d‎Oxford: Elsevier Science‎$t‎Insurance Mathematics & Economics‎$g‎ nº 38, 2006 ; p. 132-148