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Coherent risk measure
In the fields of
Actuarial Science
and
financial economics
there are a number of ways that risk can be defined; to clarify the concept theoreticians have described a number of properties that a
risk measure
might or might not have. A
coherent risk measure
is a function that satisfies properties of
monotonicity
,
sub-additivity
,
homogeneity
, and
translational invariance
.
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