Journal of Banking & Finance Vol. 26 No. 7 2002
Putting order in risk measures
Abstract
This paper introduces a set of axioms that define convex risk measures. Duality theory provides the representation theorem for these measures and the link with pricing rules.
- DOI
- 10.1016/s0378-4266(02)00270-4
- Volume
- 26
- Issue
- 7
- Pages
- 1473-1486
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib