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Abstract
We investigate the problem of consistency of risk measures with respect to usual stochastic order and convex order. It is shown that under weak regularity conditions risk measures preserve these stochastic orders. This result is used to derive bounds for risk measures of portfolios. As a by-product, we extend the characterization of coherent, law-invariant risk measures with the Fatou property to unbounded random variables.
Volume
38
Page
132-148
Number
1
Year
2006
Keywords
Coherent risk measure, Convex risk measure, Stochastic order, Convex order, Copula, comonotonicity, predictive analytics
Categories
New Risk Measures
Publications
Insurance: Mathematics and Economics