Natural risk measures

Assa, H (2016) Natural risk measures. Mathematics and Financial Economics, 10 (4). pp. 441-456.

Text Risk-_premium_L0-Review-Last.pdf - Author Accepted Manuscript Download (363kB)

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
Uncontrolled Keywords:	natural risk measures, coherent risk measure, value at risk
Depositing User:	Symplectic Admin
Date Deposited:	03 Dec 2018 08:41
Last Modified:	19 Jan 2023 07:33
DOI:	10.1007/s11579-016-0165-9
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3002475