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Stochastic orders and risk measures: Consistency and bounds

Bäuerle, Nicole; Müller, Alfred

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 are consistent with these stochastic orders. This result is used to derive bounds for risk measures of portfolios. As a by-product, we extend the characterization of Kusuoka (2001) of coherent, law-invariant risk measures with the Fatou property to unbounded random variables.

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Volltext §
DOI: 10.5445/IR/1000013445
Originalveröffentlichung
DOI: 10.1016/j.insmatheco.2005.08.003
Scopus
Zitationen: 45
Web of Science
Zitationen: 45
Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Zeitschriftenaufsatz
Jahr 2006
Sprache Englisch
Identifikator ISSN: 0167-6687
urn:nbn:de:swb:90-134452
KITopen-ID: 1000013445
Erschienen in Insurance Mathematics and Economics
Band 38
Heft 1
Seiten 132-148
Schlagworte coherent risk measure, convex risk measure, stochastic order, convex order, copula, comonotonicity
Nachgewiesen in Web of Science
Scopus
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