2002 | OriginalPaper | Buchkapitel
Coherent Risk Measures on General Probability Spaces
verfasst von : Freddy Delbaen
Erschienen in: Advances in Finance and Stochastics
Verlag: Springer Berlin Heidelberg
Enthalten in: Professional Book Archive
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We extend the definition of coherent risk measures, as introduced by Artzner, Delbaen, Eber and Heath, to general probability spaces and we show how to define such measures on the space of all random variables. We also give examples that relates the theory of coherent risk measures to game theory and to distorted probability measures. The mathematics are based on the characterisation of closed convex sets Pσ of probability measures that satisfy the property that every random variable is integrable for at least one probability measure in the set Pσ.