Law invariant risk measures have the Fatou property
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- Optimal expected utility risk measures
- Risk measures based on behavioural economics theory
- Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
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- Worst case portfolio vectors and diversification effects
- A note on optimal risk sharing on $L^p$ spaces
- Optimal risk sharing under distorted probabilities
- Representation results for law invariant time consistent functions
- On securitization, market completion and equilibrium risk transfer
- Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
- Good deals and compatible modification of risk and pricing rule: a regulatory treatment
- Lebesgue property for convex risk measures on Orlicz spaces
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- On the range of the subdifferential in non reflexive Banach spaces
- Elicitability and identifiability of set-valued measures of systemic risk
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- Automatic Fatou property of law-invariant risk measures
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- Risk forms: representation, disintegration, and application to partially observable two-stage systems
- Martingale characterizations of risk-averse stochastic optimization problems
- Efficient hedging under ambiguity in continuous time
- A decomposition of general premium principles into risk and deviation
- Scenario-based risk evaluation
- The strong Fatou property of risk measures
- Law invariant risk measures and information divergences
- A composition between risk and deviation measures
- On closedness of law-invariant convex sets in rearrangement invariant spaces
- Multivariate risk measures in the non-convex setting
- Mackey constraints for James's compactness theorem and risk measures
- Is the inf-convolution of law-invariant preferences law-invariant?
- Convex functions on dual Orlicz spaces
- Minimal representation of insurance prices
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- Risk bounds for factor models
- Stability in locally \(L^{0}\)-convex modules and a conditional version of James' compactness theorem
- Quantile portfolio optimization under risk measure constraints
- Maximum Lebesgue extension of monotone convex functions
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- Consistent risk measures for portfolio vectors
- The natural Banach space for version independent risk measures
- Robust estimation of superhedging prices
- On the link between monetary and star-shaped risk measures
- Risk measures induced by efficient insurance contracts
- Time-consistent decisions and temporal decomposition of coherent risk functionals
- Multivariate risk measures: a constructive approach based on selections
- Coherence and elicitability
- Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
- Convex risk measures for good deal bounds
- Risk measures with the CxLS property
- On two approaches to coherent risk contribution
- On the penalty function and on continuity properties of risk measures
- Higher order elicitability and Osband's principle
- Law invariant risk measures on L^( R^d)
- A note on robust representations of law-invariant quasiconvex functions
- Optimal transport and the geometry of $L^{1}(\mathbb {R}^d)$
- The center of a convex set and capital allocation
- How superadditive can a risk measure be?
- Characterization, robustness, and aggregation of signed Choquet integrals
- Some properties of distortion risk measures
- Risk Measures and Robust Optimization Problems
- Dynamic portfolio choice when risk is measured by weighted VaR
- Law invariant convex risk measures
- Capturing parameter risk with convex risk measures
- Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities
- Conic James' compactness theorem
- Disappointment aversion premium principle
- Premiums and reserves, adjusted by distortions
- Optimal reinsurance under general law-invariant risk measures
- BALAYAGE MONOTONOUS RISK MEASURES
- On a class of law invariant convex risk measures
- Risk preferences on the space of quantile functions
- Law-invariant risk measures: extension properties and qualitative robustness
- The canonical model space for law-invariant convex risk measures is \(L^{1}\)
- Schur convex functionals: Fatou property and representation
- Comonotonic measures of multivariate risks
- Kusuoka representations of coherent risk measures in general probability spaces
- A theory for measures of tail risk
- A Boolean valued analysis approach to conditional risk
- Surplus-invariant, law-invariant, and conic acceptance sets must be the sets induced by value at risk
- Law-Invariant Functionals on General Spaces of Random Variables
- Regulatory arbitrage of risk measures
- Risk aversion in regulatory capital principles
- Liquidity, risk measures, and concentration of measure
- Weak compactness of sublevel sets in complete locally convex spaces
- Extremiles: A New Perspective on Asymmetric Least Squares
- Weak compactness of sublevel sets
- Equilibrium Pricing Under Relative Performance Concerns
- Set-valued law invariant coherent and convex risk measures
- Are law-invariant risk functions concave on distributions?
- A remark on law invariant convex risk measures
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