On Conditional Chisini Means and Risk Measures

DOI10.1016/J.JMAA.2023.127124MaRDI QIDQ6411569arXivFDO

Authors Alessandro Doldi, Marco Maggis

Publication date 22 September 2022

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.JMAA.2023.127124

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

arXiv classification

math.PR q-fin.MF

Abstract: Given a real valued functional T on the space of bounded random variables, we investigate the problem of the existence of a conditional version of nonlinear means. We follow a seminal idea by Chisini (1929), defining a mean as the solution of a functional equation induced by T. We provide sufficient conditions which guarantee the existence of a (unique) solution of a system of infinitely many functional equations, which will provide the so called Conditional Chisini mean. We apply our findings in characterizing the scalarization of conditional Risk Measures, an essential tool originally adopted by Detlefsen and Scandolo (2005) to deduce the robust dual representation.

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