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Dokumenttyp:
Buchbeitrag 
Autor(en):
Föllmer, H., and Klüppelberg, C. 
Titel:
Spatial risk measures: local specification and boundary risk 
Abstract:
We study a mathematical consistency problem motivated by the interplay between local and global risk assessment in a large financial network. In analogy to the theory of Gibbs measures in Statistical Mechanics, we focus on the structure of global convex risk measures which are consistent with a given family of local conditional risk measures. Going beyond the locally law-invariant (and hence entropic) case studied in Föllmer (2014), we show that a global risk measure can be characterized by its...    »
 
Seitenangaben Beitrag:
307-326 
Herausgeber:
Crisan, D., Hambly, B. and Zariphopoulou, T. 
Buchtitel:
Stochastic Analysis and Applications 2014 - In Honour of Terry Lyons 
Verlag / Institution:
Springer International Publishing 
Jahr:
2014 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text