Assa, H. (2016) Natural risk measures. Mathematics and Financial Economics, 10 (4). pp. 441-456. ISSN 1862-9679. (doi:10.1007/s11579-016-0165-9) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:87568)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. | |
| Official URL: http://dx.doi.org/10.1007/s11579-016-0165-9 |
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Abstract
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.
| Item Type: | Article |
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| DOI/Identification number: | 10.1007/s11579-016-0165-9 |
| Subjects: | H Social Sciences |
| Institutional Unit: | Schools > Kent Business School |
| Former Institutional Unit: |
Divisions > Kent Business School - Division > Department of Accounting and Finance
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| Depositing User: | Hirbod Assa |
| Date Deposited: | 29 Apr 2021 11:49 UTC |
| Last Modified: | 22 Jul 2025 09:05 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/87568 (The current URI for this page, for reference purposes) |
University of Kent Author Information
Assa, H..
| Creator's ORCID: |
 https://orcid.org/0000-0002-4429-8684
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