Before revision:  In case of Kabanov's exchange cone model, it is shown how the selection risk measure relates to the set-valued risk measures considered by Kulikov (2008) and Hamel and Heyde (2010  ).
After revision:  In case of Kabanov's exchange cone model, it is shown how the selection risk measure relates to the set-valued risk measures considered by Kulikov (2008) and Hamel and Heyde (2010 ) and Hamel et al. (2013 ).