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Stochastic orders and risk measures: Consistency and bounds

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  • Bauerle, Nicole
  • Muller, Alfred

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  • Bauerle, Nicole & Muller, Alfred, 2006. "Stochastic orders and risk measures: Consistency and bounds," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 132-148, February.
  • Handle: RePEc:eee:insuma:v:38:y:2006:i:1:p:132-148
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    10. Goovaerts, Marc J. & Kaas, Rob & Dhaene, Jan & Tang, Qihe, 2004. "Some new classes of consistent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 505-516, June.
    11. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
    12. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    13. Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
    14. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
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    16. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
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    Cited by:

    1. Edgars Jakobsons & Steven Vanduffel, 2015. "Dependence Uncertainty Bounds for the Expectile of a Portfolio," Risks, MDPI, Open Access Journal, vol. 3(4), pages 1-25, December.
    2. Barrieu, Pauline & Scandolo, Giacomo, 2015. "Assessing financial model risk," European Journal of Operational Research, Elsevier, vol. 242(2), pages 546-556.
    3. Bernard, Carole & Jiang, Xiao & Wang, Ruodu, 2014. "Risk aggregation with dependence uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 93-108.
    4. Ignacio Cascos & Ilya Molchanov, 2006. "Multivariate risks and depth-trimmed regions," Papers math/0606520, arXiv.org, revised Nov 2006.
    5. Mathieu Bargès & Hélène Cossette & Etienne Marceau, 2009. "TVaR-based capital allocation with copulas," Working Papers hal-00431265, HAL.
    6. Molchanov, Ilya & Cascos, Ignacio, 2006. "Multivariate risks and depth-trimmed regions," DES - Working Papers. Statistics and Econometrics. WS ws063815, Universidad Carlos III de Madrid. Departamento de Estadística.
    7. Bignozzi, Valeria & Puccetti, Giovanni & Rüschendorf, Ludger, 2015. "Reducing model risk via positive and negative dependence assumptions," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 17-26.
    8. Grechuk, Bogdan & Zabarankin, Michael, 2016. "Inverse portfolio problem with coherent risk measures," European Journal of Operational Research, Elsevier, vol. 249(2), pages 740-750.
    9. Bargès, Mathieu & Cossette, Hélène & Marceau, Étienne, 2009. "TVaR-based capital allocation with copulas," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 348-361, December.
    10. Montes, Ignacio & Miranda, Enrique & Montes, Susana, 2014. "Stochastic dominance with imprecise information," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 868-886.
    11. Ludkovski, Michael & Rüschendorf, Ludger, 2008. "On comonotonicity of Pareto optimal risk sharing," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1181-1188, August.
    12. Bellini, Fabio & Klar, Bernhard & Müller, Alfred & Rosazza Gianin, Emanuela, 2014. "Generalized quantiles as risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 41-48.
    13. Rosella Giacometti & Sergio Ortobelli & Tomáš Tichý, 2015. "Portfolio Selection with Uncertainty Measures Consistent with Additive Shifts," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(1), pages 3-16.
    14. Bogdan Grechuk & Anton Molyboha & Michael Zabarankin, 2012. "Mean‐Deviation Analysis in the Theory of Choice," Risk Analysis, John Wiley & Sons, vol. 32(8), pages 1277-1292, August.
    15. Sergio Ortobelli & Tomáš Tichý, 2015. "On the impact of semidefinite positive correlation measures in portfolio theory," Annals of Operations Research, Springer, vol. 235(1), pages 625-652, December.
    16. Laniado Rodas, Henry & Pellerey, Franco & Lillo Rodríguez, Rosa Elvira & Romo Urroz, Juan, 2012. "Portfolio selection through and extremality stochastic order," DES - Working Papers. Statistics and Econometrics. WS ws121812, Universidad Carlos III de Madrid. Departamento de Estadística.
    17. Laniado, Henry & Lillo, Rosa E. & Pellerey, Franco & Romo, Juan, 2012. "Portfolio selection through an extremality stochastic order," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 1-9.
    18. Ignacio Cascos & Ilya Molchanov, 2007. "Multivariate risks and depth-trimmed regions," Finance and Stochastics, Springer, vol. 11(3), pages 373-397, July.

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