Robust preferences and convex measures of risk. (English) Zbl 1022.91045

Sandmann, Klaus (ed.) et al., Advances in finance and stochastics. Essays in honour of Dieter Sondermann. Berlin: Springer. 39-56 (2002).
The reviewed paper presents robust representation theorems for monetary measures of risk in a situation of uncertainty, where no probability measure is given a priory (in the case of a measurable space as well as in the case of a topological space of scenarious). The problem of computing the monetary measure of risk induced by a subjective loss functional, which appears in the robust Savage representation (of the preference order) is discussed.
For the entire collection see [Zbl 0986.00085].


91B82 Statistical methods; economic indices and measures
91B28 Finance etc. (MSC2000)