Dual characterization of properties of risk measures on Orlicz hearts (Q841649)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dual characterization of properties of risk measures on Orlicz hearts |
scientific article |
Statements
Dual characterization of properties of risk measures on Orlicz hearts (English)
0 references
18 September 2009
0 references
The paper provides some characterizations of monetary risk measures on Orlicz hearts, obtaining general conditions for the Gâteaux-differentiability, as well as conditions for the above measures to be strictly monotone with almost sure inequality, strictly convex modulo translation, strictly convex modulo comonotonicity, monotone with respect to different stochastic orders. Finally several parametric families of risk measures are studied by means of the theoretical results.
0 references
risk measures
0 references
Gâteaux-differentiability
0 references
strict monotonicity
0 references
strict convexity
0 references
stochastic orders
0 references
Orlicz hearts
0 references
