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Vector Risk Functions

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorBalbás, Alejandro
dc.contributor.authorBalbás, Raquel
dc.contributor.authorJiménez Guerra, Pedro
dc.date.accessioned2014-01-20T17:11:51Z
dc.date.available2014-01-20T17:11:51Z
dc.date.issued2012-11
dc.description.abstractThe 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.sponsorshipThis research was partially supported by “Ministerio de Ciencia en Innovación” (Spain), Grant ECO2009 − 14457 − C04en
dc.description.statusPublicadoes
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationMediterranean Journal of Mathematics, 2012, v. 9, pp. 563–574en
dc.identifier.doi10.1007/s00009-011-0153-5
dc.identifier.issn1660-5446
dc.identifier.publicationfirstpage563
dc.identifier.publicationissue4
dc.identifier.publicationlastpage574
dc.identifier.publicationtitleMediterranean Journal of Mathematicsen
dc.identifier.publicationvolume9
dc.identifier.urihttps://hdl.handle.net/10016/18155
dc.identifier.uxxiAR/0000011043
dc.language.isoenges
dc.publisherSpringeres
dc.relation.projectIDComunidad de Madrid. S2009/ESP-1685/RIESGOSes
dc.relation.projectIDGobierno de España. ECO2009−14457−C04
dc.relation.publisherversionhttp://dx.doi.org/10.1007/s00009-011-0153-5
dc.rightsSpringeren
dc.rights.accessRightsopen access
dc.subject.otherVector risk functionen
dc.subject.otherRepresentation theoremen
dc.subject.otherDynamic risk measures and other examplesen
dc.titleVector Risk Functionsen
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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