On law invariant coherent risk measures
The idea of coherent risk measures has been introduced by Artzner, Delbaen, Eber and Heath . We think of a special class of coherent risk measures and give a characterization of it. Let (Ω, ℱ, P) be a probability space. We denote L ∞(Ω, ℱ, P) by L ∞. Following , we give the following definition.
Key wordsRisk measures value at risk
Mathematics Subject Classification (2000)60A99
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- 2.Delbaen, F.: Coherent Risk Measures on General Probability Spaces. Preprint 1999Google Scholar