Dual characterization of properties of risk measures on Orlicz hearts (Q841649)
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| Language | Label | Description | Also known as |
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| English | Dual characterization of properties of risk measures on Orlicz hearts |
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Dual characterization of properties of risk measures on Orlicz hearts (English)
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18 September 2009
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The paper provides some characterizations of monetary risk measures on Orlicz hearts, obtaining general conditions for the Gâteaux-differentiability, as well as conditions for the above measures to be strictly monotone with almost sure inequality, strictly convex modulo translation, strictly convex modulo comonotonicity, monotone with respect to different stochastic orders. Finally several parametric families of risk measures are studied by means of the theoretical results.
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risk measures
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Gâteaux-differentiability
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strict monotonicity
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strict convexity
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stochastic orders
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Orlicz hearts
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