On a class of law invariant convex risk measures

DOI10.1007/S00780-010-0145-5zbMath1303.91088OpenAlexW2165836232MaRDI QIDQ483720

Michael Kupper, Ivo Kaelin, Gilles Angelsberg, Freddy Delbaen, Joachim Näf

Publication date: 17 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0145-5

zbMATH Keywords

variational methodsrobust representationlaw invariant convex risk measures

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Probabilistic measure theory (60A10) Spaces of measures, convergence of measures (28A33) Existence of optimal solutions to problems involving randomness (49J55)

Cites Work

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• RISK MEASURES ON ORLICZ HEARTS
• Law invariant risk measures have the Fatou property
• THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L¹
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Stochastic finance. An introduction in discrete time

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