Risk measures with the CxLS property
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Publication:287670
DOI10.1007/S00780-015-0279-6zbMATH Open1376.91173arXiv1411.0426OpenAlexW2337403985MaRDI QIDQ287670FDOQ287670
Authors: Freddy Delbaen, Fabio Bellini, Valeria Bignozzi, Johanna F. Ziegel 
Publication date: 23 May 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Abstract: In the present contribution we characterize law determined convex risk measures that have convex level sets at the level of distributions. By relaxing the assumptions in Weber (2006), we show that these risk measures can be identified with a class of generalized shortfall risk measures. As a direct consequence, we are able to extend the results in Ziegel (2014) and Bellini and Bignozzi (2014) on convex elicitable risk measures and confirm that expectiles are the only elicitable coherent risk measures. Further, we provide a simple characterization of robustness for convex risk measures in terms of a weak notion of mixture continuity.
Full work available at URL: https://arxiv.org/abs/1411.0426
Recommendations
Nonparametric robustness (62G35) Statistical methods; risk measures (91G70) Utility theory (91B16) Combinatorial probability (60C05)
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