The strong Fatou property of risk measures

DOI10.1515/DEMO-2018-0012MaRDI QIDQ2283647zbMATH OpenOpenAlexWikidataFDO

Authors Shengzhong Chen, Niushan Gao, Foivos Xanthos

Publication date 13 January 2020

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/1805.05259

zbMATH Keywords

dual representationsFatou propertyinf-convolutionslaw-invariant risk measuresstrong Fatou propertysuper Fatou propertysurplus-invariant 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: In this paper, we explore several Fatou-type properties of risk measures. The paper continues to reveal that the strong Fatou property, which was introduced in [17], seems to be most suitable to ensure nice dual representations of risk measures. Our main result asserts that every quasiconvex law-invariant functional on a rearrangement invariant space $mathcalX$ with the strong Fatou property is $sigma(mathcalX,L^{i}nfty)$ lower semicontinuous and that the converse is true on a wide range of rearrangement invariant spaces. We also study inf-convolutions of law-invariant or surplus-invariant risk measures that preserve the (strong) Fatou property.

Recommendations

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Cited in

(17)

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