Law invariant risk measures have the Fatou property
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Publication:3564005
DOI10.1007/4-431-34342-3_4zbMATH Open1198.46028OpenAlexW3124592362MaRDI QIDQ3564005FDOQ3564005
Authors: Elyès Jouini, Walter Schachermayer, Nizar Touzi 
Publication date: 2 June 2010
Published in: Advances in Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/4-431-34342-3_4
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- Optimal reinsurance under general law-invariant risk measures
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- Risk minimization and optimal derivative design in a principal agent game
- Optimal transport and the geometry of $L^{1}(\mathbb {R}^d)$
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- On the penalty function and on continuity properties of risk measures
- Consistent risk measures for portfolio vectors
- Comonotonic measures of multivariate risks
- Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
- Superquantile/CVaR risk measures: second-order theory
- An overview of representation theorems for static risk measures
- Regression analysis: likelihood, error and entropy
- Risk measures with the CxLS property
- Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities
- Optimal risk sharing with non-monotone monetary functionals
- Capturing parameter risk with convex risk measures
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- On securitization, market completion and equilibrium risk transfer
- Dual characterization of properties of risk measures on Orlicz hearts
- Coherence and elicitability
- Convex functions on dual Orlicz spaces
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- Multivariate risk measures: a constructive approach based on selections
- Risk Measures and Robust Optimization Problems
- On convex risk measures on \(L^{p}\)-spaces
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- On a class of law invariant convex risk measures
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- Elicitability and identifiability of set-valued measures of systemic risk
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- Law-invariant risk measures: extension properties and qualitative robustness
- Kusuoka representations of coherent risk measures in general probability spaces
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- Dilatation monotone risk measures are law invariant
- Portfolio insurance under a risk-measure constraint
- Time-consistent decisions and temporal decomposition of coherent risk functionals
- Lebesgue property for convex risk measures on Orlicz spaces
- Weak compactness and variational characterization of the convexity
- Sensitivity of risk measures with respect to the normal approximation of total claim distributions
- Risk Aversion in Regulatory Capital Principles
- Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
- Partial equilibria with convex capital requirements: existence, uniqueness and stability
- Short note on inf-convolution preserving the Fatou property
- Incorporating statistical model error into the calculation of acceptability prices of contingent claims
- How Superadditive Can a Risk Measure Be?
- Optimal expected utility risk measures
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Risk measures beyond frictionless markets
- Law-Invariant Functionals on General Spaces of Random Variables
- Conic James' Compactness Theorem
- On the link between monetary and star-shaped risk measures
- Risk measures induced by efficient insurance contracts
- Distribution-Invariant Risk Measures, Entropy, and Large Deviations
- Stability in locally \(L^{0}\)-convex modules and a conditional version of James' compactness theorem
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- Duality and stable compactness in Orlicz-type modules
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- Robust estimation of superhedging prices
- Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk
- Are law-invariant risk functions concave on distributions?
- Risk measures under model uncertainty: a Bayesian viewpoint
- BALAYAGE MONOTONOUS RISK MEASURES
- Scenario-based risk evaluation
- Risk measures based on behavioural economics theory
- On the range of the subdifferential in non reflexive Banach spaces
- Risk bounds for factor models
- Risk sharing under heterogeneous beliefs without convexity
- Mean‐ portfolio selection and ‐arbitrage for coherent risk measures
- Some properties of distortion risk measures
- Mackey constraints for James's compactness theorem and risk measures
- Multivariate risk measures in the non-convex setting
- Law-invariant functionals that collapse to the mean
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