Natural risk measures

作者：Assa Hirbod^*

来源：Mathematics and Financial Economics, 2016, 10(4): 441-456.

DOI：10.1007/s11579-016-0165-9

• Natural risk measures
• Coherent risk measure
• Value at risk

A coherent risk measure with a proper continuity condition cannot be defined on a large set of random variables. However, if one relaxes the sub-additivity condition and replaces it with co-monotone sub-additivity, the proper domain of risk measures can contain the set of all random variables. In this study, by replacing the sub-additivity axiom of law invariant coherent risk measures with co-monotone sub-additivity, we introduce the class of natural risk measures on the space of all bounded-below random variables. We characterize the class of natural risk measures by providing a dual representation of its members.

• 出版日期2016-9