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Law-invariant risk measures: Extension properties and qualitative robustness
-
Pablo Koch-Medina
and
Cosimo Munari
Published/Copyright:
September 6, 2014
Abstract
We characterize when a convex risk measure associated to a law-invariant acceptance set in L∞ can be extended to Lp,
Keywords: Extension of risk measures; acceptance sets; law invariance; statistical robustness; index of finiteness; index of qualitative robustness; expected utility; max-correlation risk measures; distortion risk measures
Funding source: SNF
Award Identifier / Grant number: 51NF40-144611
Received: 2014-1-9
Accepted: 2014-5-26
Published Online: 2014-9-6
Published in Print: 2014-12-1
© 2014 by De Gruyter
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Articles in the same Issue
- Frontmatter
- Law-invariant risk measures: Extension properties and qualitative robustness
- Constrained inference in multiple regression with structural changes
- Stochastic dominance with respect to a capacity and risk measures
- Change point test for tail index of scale-shifted processes
- Optimal risk allocation for convex risk functionals in general risk domains
Articles in the same Issue
- Frontmatter
- Law-invariant risk measures: Extension properties and qualitative robustness
- Constrained inference in multiple regression with structural changes
- Stochastic dominance with respect to a capacity and risk measures
- Change point test for tail index of scale-shifted processes
- Optimal risk allocation for convex risk functionals in general risk domains
