Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces (Q1709606)

The paper focuses on a nonatomic probability triple \((\Omega, \mathcal F, P)\) and provides a variety of representation and extension results for quasiconvex, law-invariant risk measures defined on a general Orlicz space \(L^\Phi\), where \(\Phi\) does not satisfy the \(\Delta_2\) condition under which \(L^\Phi\) coinsides with its Orlicz heart \(H^\Phi\). The main results include: {\parindent=0,7cm \begin{itemize}\item[--] Delbaen's representation of convex functionals with the Fatou property; \item[--] identification of the class of Orlicz spaces where the characterization of the Fatou property continues to hold; \item[--] extension of Kusuoka's representation to a general Orlicz space; \item[--] proving a version of the extension result by replacing norm-lower semicontinuity with the generally non-equivalent Fatou property. \end{itemize}} The results have applications to the theory of risk measures.