Stochastic orders and risk measures : consistency and bounds
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000nab a2200000 i 4500 | ||
| 001 | MAP20071507749 | ||
| 003 | MAP | ||
| 005 | 20080418125634.0 | ||
| 007 | hzrazu---bucu | ||
| 008 | 060310q2006 gbr|||| | |00010|eng d | ||
| 040 | $aMAP$bspa | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20080123024$aBauerle, Nicole | |
| 245 | 1 | 0 | $aStochastic orders and risk measures$b: consistency and bounds$cNicole Baüerle and Alfred Müller |
| 520 | 8 | $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 | |
| 650 | 1 | 1 | $0MAPA20080555016$aLongevidad |
| 650 | 0 | 1 | $0MAPA20080599300$aTablas de mortalidad |
| 650 | 0 | 1 | $0MAPA20080602437$aMatemática del seguro |
| 650 | 0 | 1 | $0MAPA20080586447$aModelo estocástico |
| 700 | 1 | $0MAPA20080109554$aMüller, Alfred | |
| 773 | 0 | $dOxford: Elsevier Science$tInsurance Mathematics & Economics$g nº 38, 2006 ; p. 132-148 |