El Karoui, Nicole; Ravanelli, Claudia - Institut für Schweizerisches Bankwesen <Zürich> - 2008
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, non-financial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the original difference between the numeraire...
