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), Hamel and Heyde (2010) and Hamel et al. (2013).
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), Hamel and Heyde (2010) , and Hamel, Heyde and Rudloff (2013).