Dilatation monotone risk measures are law invariant (Q2463717): Difference between revisions
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Revision as of 07:14, 5 March 2024
scientific article
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| English | Dilatation monotone risk measures are law invariant |
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Dilatation monotone risk measures are law invariant (English)
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16 December 2007
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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.
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coherent risk measures
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convex risk measures
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dilatation monotonicity
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factor monotonicity
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Fatou property
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law invariance
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second-order stochastic dominance
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