Monetary risk measures for stochastic processes via Orlicz duality

DOI10.1007/S10203-021-00334-XMaRDI QIDQ2145689zbMATHOpenAlexFDO

Authors Christos E. Kountzakis, Damiano Rossello

Publication date 17 June 2022

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-021-00334-x

zbMATH Keywords

acceptability indicesconcave monetary utility functionalsmonetary risk measures for processesOrlicz space duality

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 50401 (Why is no real title available?)
• scientific article; zbMATH DE number 1321178 (Why is no real title available?)
• scientific article; zbMATH DE number 3108741 (Why is no real title available?)
• Acceptability indices of performance for bounded càdlàg processes
• Coherent and convex monetary risk measures for bounded càdlàg processes
• Coherent measures of risk
• Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
• Drawdown: from practice to theory and back again
• Dynamic risk measures
• Erratum: Coherent and convex risk measures for unbounded càdlàg processes
• Infinite dimensional analysis. A hitchhiker's guide.
• Intra‐Horizon expected shortfall and risk structure in models with jumps
• RISK MEASURES ON ORLICZ HEARTS
• Stopping Times and Directed Processes
• The mathematics of arbitrage

Cited in

(3)

• Dual characterization of properties of risk measures on Orlicz hearts
• On the extension property of dilatation monotone risk measures
• Representation of weakly maxitive monetary risk measures and their rate functions

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