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An overview of representation theorems for static risk measures

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Abstract

In this paper, we give an overview of representation theorems for various static risk measures: coherent or convex risk measures, risk measures with comonotonic subadditivity or convexity, law-invariant coherent or convex risk measures, risk measures with comonotonic subadditivity or convexity and respecting stochastic orders.

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Authors and Affiliations

  1. Center for Financial Engineering and Risk Management, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China

    YongSheng Song & JiaAn Yan

Authors
  1. YongSheng Song
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  2. JiaAn Yan
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Correspondence to JiaAn Yan.

Additional information

This work was supported by National Natural Science Foundation of China (Grant No. 10571167), National Basic Research Program of China (973 Program) (Grant No. 2007CB814902), and Science Fund for Creative Research Groups (Grant No. 10721101)

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Song, Y., Yan, J. An overview of representation theorems for static risk measures. Sci. China Ser. A-Math. 52, 1412–1422 (2009). https://doi.org/10.1007/s11425-009-0122-7

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  • DOI: https://doi.org/10.1007/s11425-009-0122-7

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