2018/12/11 by Andreas H. Hamel, Hamel, Andreas H
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #91B30 #FOS: Economics and business #Insurance, Mortality, Demography, Risk Management #Risk Management (q-fin.RM) #Risk and Portfolio Optimization #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1812.04354
openalex publication_date 2018/12/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.