On the extension property of dilatation monotone risk measures

DOI10.1515/strm-2020-0006zbMath1480.91325arXiv2002.11865OpenAlexW3119399170MaRDI QIDQ2063035

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

Orlicz spacesFatou propertydilatation monotonicitylaw invarianceextension of risk measuresdual representationshigher order dual risk measuresKusuoka representationstransformed norm risk measures

Mathematics Subject Classification ID

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

Related Items (2)

Law-invariant functionals that collapse to the mean: beyond convexity ⋮ Mean‐ portfolio selection and ‐arbitrage for coherent risk measures

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