Risk measures on ordered non-reflexive Banach spaces (Q711026)

In this theoretical paper, the author extends some dual representations and continuity results which hold in the case of reflexive spaces to the class of non-reflexive Banach spaces. This allows for the presence of fat-tails or possible unbounded values as models for the random variables under study. Dual representations and continuity results are given for coherent and non-coherent convex risk measures.