Dilatation monotone risk measures are law invariant (Q2463717): Difference between revisions

The main result of the paper is that on an atomless probability space any \(L^{\infty}\)-continuous dilatation monotone map is law invariant. This result demonstrates the equivalence between dilatation monotonicity and such important properties of convex risk measures as law invariance and second-order stochastic monotonicity. Some mathematically simple but economically useful interpretations are provided.