期刊名称：Brazilian Journal of Probability and Statistics
印刷版ISSN：0103-0752
出版年度：2007
卷号：21
期号：1
页码：1-12
出版社：Brazilian Statistical Association
摘要：In this paper certainty equivalents are considered as riskmeasures. It is shown, how certainty equivalents can be characterizedaxiomatically, and how properties like translation invariance, positivehomogeneity, convexity and subadditivity can be characterized by propertiesof the utility function. It turns out that these risk measures typically are notconvex, but still preserve convex stochastic ordering
