On the extension property of dilatation monotone risk measures

DOI10.1515/STRM-2020-0006MaRDI QIDQ2063035zbMATH OpenOpenAlexFDO

Authors Massoomeh Rahsepar, Foivos Xanthos

Publication date 10 January 2022

Published in Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2002.11865

zbMATH Keywords

dilatation monotonicitydual representationsextension of risk measuresFatou propertyhigher order dual risk measuresKusuoka representationslaw invarianceOrlicz spacestransformed norm risk measures

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Statistical methods; risk measures (91G70)

Abstract: Let $mathcalX$ be a subset of $L^1$ that contains the space of simple random variables $mathcalL$ and $ho:mathcalXightarrow(-infty,infty]$ a dilatation monotone functional with the Fatou property. In this note, we show that $ho$ extends uniquely to a $sigma(L^1,mathcalL)$ lower semicontinuous and dilatation monotone functional $overlineho:L^{1}ightarrow(-infty,infty]$. Moreover, $overlineho$ preserves monotonicity, (quasi)convexity, and cash-additivity of $ho$. Our findings complement recent extension results for quasiconvex law-invariant functionals proved in [17,20]. As an application of our results, we show that transformed norm risk measures on Orlicz hearts admit a natural extension to $L^1$ that retains the robust representations obtained in [4,6].

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Cited in

(8)

• Niveloids and their extensions: risk measures on small domains
• Law-invariant functionals that collapse to the mean: beyond convexity
• Maximum Lebesgue extension of monotone convex functions
• Dilatation monotone risk measures are law invariant
• Dilatation monotonicity and convex order
• Mean‐ portfolio selection and ‐arbitrage for coherent risk measures
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