Centro de Documentación de Fundación MAPFRE - Stochastic orders and risk measures : consistency and bounds

Notas: 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 variablesRegistros relacionados: En: Insurance Mathematics & Economics. - Oxford: Elsevier Science. - nº 38, 2006 ; p. 132-148Materia / lugar / evento: Mortalidad Longevidad Tablas de mortalidad Matemática del seguro Modelo estocástico Otros autores: Müller, Alfred
Outras classificações: 6

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