Quotation Hamel, Andreas, Rudloff, Birgit. 2008. Continuity and Finite-Valuedness of Set-Valued Risk Measures. In: Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday, Hrsg. Chr. Tammer, F. Heyde, S. 49-64. Aachen: Shaker.


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Abstract

Definitions and conditions for a set–valued measure of risk to have ”finite values” are given. Moreover, continuity properties for convex and non-convex risk measures are investigated. As an example, set–valued variants of Value at Risk are considered.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Chapter in edited volume
Language English
Title Continuity and Finite-Valuedness of Set-Valued Risk Measures
Title of whole publication Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday
Editor Chr. Tammer, F. Heyde
Page from 49
Page to 64
Location Aachen
Publisher Shaker
Year 2008
Reviewed? Y
URL http://www.princeton.edu/~brudloff/Hamel-Rudloff-08.pdf
ISBN 978-3-8322-7500-6

Associations

People
Rudloff, Birgit (Details)
External
Hamel, Andreas (Free University of Bolzano, Italy)
Organization
Institute for Statistics and Mathematics IN (Details)
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