Stochastic orders and risk measures : consistency and bounds

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<title>Stochastic orders and risk measures</title>
<subTitle>: consistency and bounds</subTitle>
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<namePart>Bauerle, Nicole</namePart>
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<namePart>Müller, Alfred</namePart>
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<abstract>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</abstract>
<note type="statement of responsibility">Nicole Baüerle and Alfred Müller</note>
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<title>Insurance Mathematics & Economics</title>
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<publisher>Oxford: Elsevier Science</publisher>
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<text> nº 38, 2006 ; p. 132-148</text>
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