Publication: Vector Risk Functions
dc.affiliation.dpto | UC3M. Departamento de Economía de la Empresa | es |
dc.contributor.author | Balbás, Alejandro | |
dc.contributor.author | Balbás, Raquel | |
dc.contributor.author | Jiménez Guerra, Pedro | |
dc.date.accessioned | 2014-01-20T17:11:51Z | |
dc.date.available | 2014-01-20T17:11:51Z | |
dc.date.issued | 2012-11 | |
dc.description.abstract | The paper introduces a new notion of vector-valued risk function, a crucial notion in Actuarial and Financial Mathematics. Both deviations and expectation bounded or coherent risk measures are defined and analyzed. The relationships with both scalar and vector risk functions of previous literature are discussed, and it is pointed out that this new approach seems to appropriately integrate several preceding points of view. The framework of the study is the general setting of Banach lattices and Bochner integrable vector-valued random variables. Sub-gradient linked representation theorems and practical examples are provided. | en |
dc.description.sponsorship | This research was partially supported by “Ministerio de Ciencia en Innovación” (Spain), Grant ECO2009 − 14457 − C04 | en |
dc.description.status | Publicado | es |
dc.format.mimetype | application/pdf | |
dc.identifier.bibliographicCitation | Mediterranean Journal of Mathematics, 2012, v. 9, pp. 563–574 | en |
dc.identifier.doi | 10.1007/s00009-011-0153-5 | |
dc.identifier.issn | 1660-5446 | |
dc.identifier.publicationfirstpage | 563 | |
dc.identifier.publicationissue | 4 | |
dc.identifier.publicationlastpage | 574 | |
dc.identifier.publicationtitle | Mediterranean Journal of Mathematics | en |
dc.identifier.publicationvolume | 9 | |
dc.identifier.uri | https://hdl.handle.net/10016/18155 | |
dc.identifier.uxxi | AR/0000011043 | |
dc.language.iso | eng | es |
dc.publisher | Springer | es |
dc.relation.projectID | Comunidad de Madrid. S2009/ESP-1685/RIESGOS | es |
dc.relation.projectID | Gobierno de España. ECO2009−14457−C04 | |
dc.relation.publisherversion | http://dx.doi.org/10.1007/s00009-011-0153-5 | |
dc.rights | Springer | en |
dc.rights.accessRights | open access | |
dc.subject.other | Vector risk function | en |
dc.subject.other | Representation theorem | en |
dc.subject.other | Dynamic risk measures and other examples | en |
dc.title | Vector Risk Functions | en |
dc.type | research article | * |
dc.type.hasVersion | AM | * |
dspace.entity.type | Publication |
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