Continuity and Finite-Valuedness of Set-Valued Risk Measures

TITLE: Continuity and Finite-Valuedness of Set-Valued Risk Measures.
AUTHOR: Andreas Hamel and Birgit Rudloff
ABSTRACT: Definitions and conditions for a set-valued measure of risk to have ''finite values'' are given. Moreover, continuity properties for convex and non-convex risk measures are investigated. As an example, set-valued variants of Value at Risk are considered.
STATUS: In: Chr. Tammer, F. Heyde (eds.): Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday. Shaker Verlag, Aachen, 49 - 64, 2008.