DOI: 10.68381/jca22030 ISSN: 0944-6532
Risk Measures, Convexity, and Max-Min Shortfalls
Sjur Didrik FlåmMonetary risk measures are studied here in terms of acceptable outcomes, normalized non-negative prices, and resulting shortfalls. At center stage stand convex analysis, saddle functions and associated max-min formulae. The latter comply with common sense and established theory.