RISK MEASURES ON ORLICZ HEARTS

DOI10.1111/j.1467-9965.2009.00364.xzbMath1168.91409MaRDI QIDQ3393968

Publication date: 28 August 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00364.x

zbMATH Keywords

Orlicz spaces; coherent risk measures; acceptance sets; convex monetary risk measures; transformed norm risk measures; robust representations; monetary risk measures; cash-additive hulls; transformed loss risk measures

Mathematics Subject Classification ID

Related Items

Exponential models by Orlicz spaces and applications, Smallest order closed sublattices and option spanning, Measures of Systemic Risk, Duality Formulas for Robust Pricing and Hedging in Discrete Time, Multivariate Shortfall Risk Allocation and Systemic Risk, COMONOTONIC MEASURES OF MULTIVARIATE RISKS, Robust Portfolio Choice and Indifference Valuation, Statistical Inference for Expectile‐based Risk Measures, Compactness, Optimality, and Risk, Risk measures with the CxLS property, Optimal stopping under model uncertainty: randomized stopping times approach, Risk measures and their application to staffing nonstationary service systems, Coherent risk measures in general economic models and price bubbles, Comparative and qualitative robustness for law-invariant risk measures, Beyond cash-additive risk measures: when changing the numéraire fails, On a class of law invariant convex risk measures, Optimal stopping with dynamic variational preferences, Sensitivity of risk measures with respect to the normal approximation of total claim distributions, Risk measures on ordered non-reflexive Banach spaces, Robustness regions for measures of risk aggregation, Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices, Capital requirements with defaultable securities, Risk optimization with \(p\)-order conic constraints: a linear programming approach, Cash subadditive risk measures for portfolio vectors, Optimal reinsurance under risk and uncertainty on Orlicz hearts, Option spanning beyond \(L_p\)-models, Model spaces for risk measures, An analytical study of norms and Banach spaces induced by the entropic value-at-risk, Distributions with heavy tails in Orlicz spaces, Robust return risk measures, Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces, Coherent and convex loss-based risk measures for portfolio vectors, Worst case portfolio vectors and diversification effects, On Banach spaces of vector-valued random variables and their duals motivated by risk measures, Convex risk measures on Orlicz spaces: inf-convolution and shortfall, Addendum to: Entropic value-at-risk: a new coherent risk measure, Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures, Lebesgue property for convex risk measures on Orlicz spaces, Risk measures in ordered normed linear spaces with non-empty cone-interior, Domains of weak continuity of statistical functionals with a view toward robust statistics, Statistical estimation of composite risk functionals and risk optimization problems, Kusuoka representation of higher order dual risk measures, Maximum Lebesgue extension of monotone convex functions, Haezendonck-Goovaerts risk measures and Orlicz quantiles, On the Lebesgue property of monotone convex functions, The natural Banach space for version independent risk measures, Robust Utility Maximization without Model Compactness, Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences, MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS, Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences, DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE, CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS, GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS, INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES, Dynamic Limit Growth Indices in Discrete Time, Conditional risk and acceptability mappings as Banach-lattice valued mappings, Duality in a Problem of Static Partial Hedging under Convex Constraints

Cites Work