On convex risk measures on L^p-spaces
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Publication:1028536
DOI10.1007/S00186-008-0248-3zbMATH Open1168.91019OpenAlexW1975884238MaRDI QIDQ1028536FDOQ1028536
Publication date: 6 July 2009
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-008-0248-3
Recommendations
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- Convex risk measures beyond bounded risks
- Value-at-risk and continuous coherent risk measures on \(L^p\)-space
- Lebesgue property for convex risk measures on Orlicz spaces
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall
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- Monotone and cash-invariant convex functions and hulls
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Cited In (76)
- Convex bodies generated by sublinear expectations of random vectors
- A note on optimal risk sharing on $L^p$ spaces
- RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES
- COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION
- Systemic risk measures on general measurable spaces
- Replicating portfolio approach to capital calculation
- Worst case portfolio vectors and diversification effects
- Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
- On \(s\)-convexity and risk aversion
- Entropic value-at-risk: a new coherent risk measure
- Risk measures on ordered non-reflexive Banach spaces
- Nonlinear expectations of random sets
- Optimal stopping under model uncertainty: randomized stopping times approach
- COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES
- Optimization of Convex Risk Functions
- Dual representations for convex risk measures via conjugate duality
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall
- Robustness regions for measures of risk aggregation
- Pricing under dynamic risk measures
- On the worst conditional expectation.
- Multivariate risk measures in the non-convex setting
- Convex risk measures: a selection of properties and its applications
- Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
- Risk aggregation with dependence uncertainty
- Multivariate risk measures: a constructive approach based on selections
- Optimization of expected shortfall on convex sets
- A least-squares Monte Carlo approach to the estimation of enterprise risk
- Pareto-optimal reinsurance arrangements under general model settings
- Measures of Systemic Risk
- Restricted coherent risk measures and actuarial solvency
- Regulatory arbitrage of risk measures
- On the Lebesgue property of monotone convex functions
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Capital requirements with defaultable securities
- Liquidity, Risk Measures, and Concentration of Measure
- Justification of per-unit risk capital allocation in portfolio credit risk models
- On the extension property of dilatation monotone risk measures
- Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\)
- On efficient portfolio selection using convex risk measures
- Convex hedging of non-superreplicable claims in discrete-time market models
- An analytical study of norms and Banach spaces induced by the entropic value-at-risk
- Beyond cash-additive risk measures: when changing the numéraire fails
- Four theorems and a financial crisis
- Risk measuring under liquidity risk
- Portfolio insurance under a risk-measure constraint
- Convex risk measures beyond bounded risks
- Risk Aversion in Regulatory Capital Principles
- Intragroup transfers, intragroup diversification and their risk assessment
- Existence of solutions for a class of bilevel stochastic linear programs
- Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
- Portfolio optimization with two coherent risk measures
- Maximum Lebesgue extension of monotone convex functions
- Kalman--Bucy Filtering and Minimum Mean Square Estimator under Uncertainty
- Controlled Markov decision processes with AVaR criteria for unbounded costs
- RISK MEASURES ON ORLICZ HEARTS
- Risk measures in ordered normed linear spaces with non-empty cone-interior
- Conditional expectiles, time consistency and mixture convexity properties
- Efficient hedging under ambiguity in continuous time
- Mathematical foundation of the replicating portfolio approach
- A composition between risk and deviation measures
- Conditional risk and acceptability mappings as Banach-lattice valued mappings
- Range-based risk measures and their applications
- Булевозначный подход к анализу условного риска
- The restricted convex risk measures in actuarial solvency
- Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds
- Dual representation of expectile-based expected shortfall and its properties
- Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
- Representation and approximation of convex dynamic risk measures with respect to strong–weak topologies
- A new coherent multivariate average-value-at-risk
- Relevant mappings
- Derivatives risks as costs in a one-period network model
- First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
- Insurance-finance arbitrage
- A pessimistic bilevel stochastic problem for elastic shape optimization
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