Model spaces for risk measures
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Publication:1681096
DOI10.1016/j.insmatheco.2017.09.006zbMath1422.91782arXiv1703.01137OpenAlexW2600397391MaRDI QIDQ1681096
Felix-Benedikt Liebrich, Gregor Svindland
Publication date: 23 November 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.01137
subgradientsextension of risk measurescontinuity properties of risk measuresimplied reference modelsmodel free risk assessment
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Combining multi-asset and intrinsic risk measures ⋮ DISTORTION RISKMETRICS ON GENERAL SPACES ⋮ Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds ⋮ Optimal initial capital induced by the optimized certainty equivalent ⋮ Risk sharing for capital requirements with multidimensional security markets ⋮ The strong Fatou property of risk measures ⋮ Surplus-Invariant Risk Measures ⋮ Law-Invariant Functionals on General Spaces of Random Variables ⋮ Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives ⋮ Topological duals of locally convex function spaces
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