RT Journal Article
T1 Vector Risk Functions
A1 Balbás, Alejandro
A1 Balbás, Raquel
A1 Jiménez Guerra, Pedro
AB 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.
PB Springer
SN 1660-5446
YR 2012
FD 2012-11
LK https://hdl.handle.net/10016/18155
UL https://hdl.handle.net/10016/18155
LA eng
NO This research was partially supported by “Ministerio de Ciencia en Innovación”(Spain), Grant ECO2009 − 14457 − C04
DS e-Archivo
RD 27 jul. 2024