Title of article :
Stochastic orders and risk measures: Consistency and bounds
Author/Authors :
J.D. and Bنuerle، نويسنده , , Nicole and Müller-Tasch، نويسنده , , Alfred، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
Abstract :
We investigate the problem of consistency of risk measures with respect to usual stochastic order and convex order. It is shown that under weak regularity conditions risk measures preserve these stochastic orders. This result is used to derive bounds for risk measures of portfolios. As a by-product, we extend the characterization of coherent, law-invariant risk measures with the Fatou property to unbounded random variables.
Keywords :
Convex order , Coherent risk measure , Comonotonicity , Stochastic order , Convex risk measure , Copula
Journal title :
Insurance Mathematics and Economics
Journal title :
Insurance Mathematics and Economics