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Konstantinides, Dimitrios G.; Kountzakis, Christos E.

Risk measures in ordered normed linear spaces with non-empty cone-interior. (English) Zbl 1233.91149

Insur. Math. Econ. 48, No. 1, 111-122 (2011).
Summary: We use tools from the theory of partially ordered normed linear spaces, especially the bases of cones. This work extends the well-known results for convex and coherent risk measures. Its linchpin consists in the replacement of the riskless bond by some interior point in the cone of the space of risks, which stands as the alternative numeraire.

Cited in 11 Documents

MSC:

91B30 Risk theory, insurance (MSC2010)

Keywords:

base of a cone; well-based cones; numeraire asset; coherent and convex risk measures; representability of risk measures
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\textit{D. G. Konstantinides} and \textit{C. E. Kountzakis}, Insur. Math. Econ. 48, No. 1, 111--122 (2011; Zbl 1233.91149)
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