In this paper we discuss representations of law invariant coherent risk measures in a form of integrals of the average value-at-risk measures.
In this paper we discuss representations of law invariant coherent risk measures in a form of integrals of the averag value-at-risk measures.
Nov 14, 2012 · In this paper we discuss representations of law invariant coherent risk measures in a form of integrals of the average value-at-risk ...
Abstract. In this paper we discuss representations of law invariant coherent risk measures in a form of integrals of the Average Value-at-Risk measures.
In this paper we discuss representations of law invariant coherent risk measures in a form of integrals of the average value-at-risk measures.
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Nov 4, 2011 · Kusuoka (2001) has obtained explicit representation theorems for comonotone risk measures and, more generally, for law invariant risk measures.
Sep 15, 2011 · In this paper we discuss representations of law invariant coherent risk measures in a form of integrals of the Average Value-at-Risk measures.
We study Kusuoka representations of law-invariant coherent risk measures on the space of bounded random variables.
Kusuoka (2001) has obtained explicit representation theorems for comonotone risk measures and, more generally, for law invariant risk measures.
Sep 1, 2011 · Abstract Kusuoka (2001) has obtained explicit representation theorems for comonotone risk measures and, more generally, for law invariant risk ...