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Consistent risk measures for portfolio vectors

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  • Burgert, Christian
  • Ruschendorf, Ludger

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  • Burgert, Christian & Ruschendorf, Ludger, 2006. "Consistent risk measures for portfolio vectors," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 289-297, April.
    • Handle: RePEc:eee:insuma:v:38:y:2006:i:2:p:289-297
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    References listed on IDEAS

    as
    1. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    2. Alexander Schied, 2004. "On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals," Papers math/0407127, arXiv.org.
    3. Elyés Jouini & Moncef Meddeb & Nizar Touzi, 2004. "Vector-valued coherent risk measures," Finance and Stochastics, Springer, vol. 8(4), pages 531-552, November.
    4. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
    5. repec:dau:papers:123456789/353 is not listed on IDEAS
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