Law of Large Numbers for Risk Measures

Publication date 22 September 2021

Management decision making, including multiple objectives (90B50) Decision theory (91B06) Utility theory (91B16) Actuarial science and mathematical finance (91G99)

Abstract: Under appropriate integrability conditions the risk measure of the sample measures for a law invariant risk measure converge almost surely to the risk measure of the sampled random variable. The results follow from general convergence theorems based on the theory of Orlicz spaces.

This page was built for publication: Law of Large Numbers for Risk Measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6378262)