Proceedings of the 2015 International Conference on Industrial Technology and Management Science

Complex and Coherent Risk Measure

Authors
M.C. Miglionico, G. D'angelo
Corresponding Author
M.C. Miglionico
Available Online November 2015.
DOI
https://doi.org/10.2991/itms-15.2015.44How to use a DOI?
Keywords
Coherent risk measure; complex adaptive system.
Abstract
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.
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Proceedings
2015 International Conference on Industrial Technology and Management Science
Part of series
Advances in Computer Science Research
Publication Date
November 2015
ISBN
978-94-6252-123-0
ISSN
2352-538X
DOI
https://doi.org/10.2991/itms-15.2015.44How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

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  - 2015 International Conference on Industrial Technology and Management Science
PB  - Atlantis Press
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  -