On the penalty function and on continuity properties of risk measures

DOI10.1142/S0219024911006309MaRDI QIDQ3086260zbMATH OpenOpenAlexFDO

Authors Emanuela Rosazza Gianin, Marco Frittelli

Publication date 30 March 2011

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024911006309

zbMATH Keywords

continuitypenalty functionrisk measures

Mathematics Subject Classification ID

Recommendations

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Cites work

• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• An overview of representation theorems for static risk measures
• Axiomatic characterization of insurance prices
• Convex measures of risk and trading constraints
• Duality for the level sum of quasiconvex functions and applications
• Law invariant risk measures have the Fatou property
• On the Existence of Minimax Martingale Measures
• Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
• The representations of two types of functionals on \(L^\infty(\Omega,\mathcal F)\) and \(L^\infty(\Omega,\mathcal F,\mathbb P)\)
• Theory of capacities

Cited in

(8)

• Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets
• On admissible strategies in robust utility maximization
• Quasiconvex risk statistics with scenario analysis
• Robust utility maximization with limited downside risk in incomplete markets
• On the game interpretation of a shadow price process in utility maximization problems under transaction costs
• Continuity and finite-valuedness of set-valued risk measures
• Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models
• Risk-averse asymptotics for reservation prices

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