On convex risk measures on \(L^{p}\)-spaces (Q1028536)

The paper deals with continuity and representation properties of convex risk measures on \(L^p\) spaces. The basic idea is inspired by the risk analysis in the financial market. In this order of ideas, continuity and representation properties of general convex risk measures on \(L^p\) are investigated, so obtaining results apt to describe basic risk components as well as to assess robustness properties of risk measures. The authors present some examples of risk measures on \(L^p\) and discuss the expect shortfall and the shortfall risk. Moreover they consider the optimal risk allocation problem for \(L^p\) risks.