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arxiv: 1812.04354 · v1 · pith:3MZQKCTInew · submitted 2018-12-11 · 💱 q-fin.RM

Monetary Measures of Risk

classification 💱 q-fin.RM
keywords measuresriskmonetaryadditivecashconstructdiscusseddual
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This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal ways to construct risk measures are given and extensions to more general situations indicated.

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