Complex and Coherent Risk Measure
- https://doi.org/10.2991/itms-15.2015.44How to use a DOI?
- Coherent risk measure; complex adaptive system.
Coherent risk measures have been introduced by Artzner et al. in financial markets where the set of states is finite. This theory has been extended by Delbaen to cases where is infinite. The financial markets are constantly evolving and the classical definition of risk measures is “static”. Hence, the need to study its complexity and evolution. “Complexity theory” focuses on the interdisciplinary study of its systems. In its evolution, the study of complex adaptive systems and the emergent phenomena associated with them are of fundamental importance. In this paper, we consider the coherent risk measure and their interpretation as complex adaptive system.
- © 2015, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - M.C. Miglionico AU - G. D'angelo PY - 2015/11 DA - 2015/11 TI - Complex and Coherent Risk Measure BT - Proceedings of the 2015 International Conference on Industrial Technology and Management Science PB - Atlantis Press SP - 174 EP - 176 SN - 2352-538X UR - https://doi.org/10.2991/itms-15.2015.44 DO - https://doi.org/10.2991/itms-15.2015.44 ID - Miglionico2015/11 ER -