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Titel:

Spatial risk measures: local specification and boundary risk

Dokumenttyp:
Buchbeitrag
Autor(en):
Föllmer, H., and Klüppelberg, C.
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
DOI:
doi:10.1007/978-3-319-11292-3_11
WWW:
http://www.springerprofessional.de/011---spatial-risk-measures253a-local-specification-and-boundary-risk/5498530.html
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX