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Subgradients of law-invariant convex risk measures on L1
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Gregor Svindland
Published/Copyright:
May 12, 2010
Abstract
We introduce a generalised subgradient for law-invariant closed convex risk measures on L1 and establish its relationship with optimal risk allocations and equilibria. Our main result gives sufficient conditions ensuring a non-empty generalised subgradient.
Keywords: equilibria; generalised subgradients; law-invariant convex risk measures; optimal capital and risk allocations
Published Online: 2010-05-12
Published in Print: 2009-12
© by Oldenbourg Wissenschaftsverlag, München, Germany
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Keywords for this article
equilibria;
generalised subgradients;
law-invariant convex risk measures;
optimal capital and risk allocations
Articles in the same Issue
- Estimation of split-points in binary regression
- On hedging European options in geometric fractional Brownian motion market model
- On the Bayesianity of maximum likelihood estimators of restricted location parameters under absolute value error loss
- Subgradients of law-invariant convex risk measures on L1
