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

MAP20071507749

Stochastic orders and risk measures : consistency and bounds / Nicole Baüerle and Alfred Müller

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

En: Insurance Mathematics & Economics. - Oxford: Elsevier Science. - nº 38, 2006 ; p. 132-148

1. Mortalidad . 2. Longevidad . 3. Tablas de mortalidad . 4. Matemática del seguro . 5. Modelo estocástico . I. Müller, Alfred . II. Título.