Law invariant risk measures have the Fatou property
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- A coercive James's weak compactness theorem and nonlinear variational problems
- Portfolio insurance under a risk-measure constraint
- The canonical model space for law-invariant convex risk measures is \(L^{1}\)
- Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities
- Set-valued law invariant coherent and convex risk measures
- Optimal reinsurance under general law-invariant risk measures
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- Optimal capital and risk allocations for law- and cash-invariant convex functions
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- Premiums and reserves, adjusted by distortions
- A remark on law invariant convex risk measures
- Optimal risk sharing with non-monotone monetary functionals
- Capturing parameter risk with convex risk measures
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- The natural Banach space for version independent risk measures
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- Incorporating statistical model error into the calculation of acceptability prices of contingent claims
- Weak compactness of sublevel sets
- Lebesgue property for convex risk measures on Orlicz spaces
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- On the penalty function and on continuity properties of risk measures
- Optimal transport and the geometry of $L^{1}(\mathbb {R}^d)$
- An overview of representation theorems for static risk measures
- Schur convex functionals: Fatou property and representation
- Consistent risk measures for portfolio vectors
- Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
- The center of a convex set and capital allocation
- Law-invariant risk measures: extension properties and qualitative robustness
- Convex functions on dual Orlicz spaces
- Optimal expected utility risk measures
- Dilatation monotone risk measures are law invariant
- On a class of law invariant convex risk measures
- Extremiles: A New Perspective on Asymmetric Least Squares
- Risk preferences on the space of quantile functions
- Good deals and compatible modification of risk and pricing rule: a regulatory treatment
- A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES
- Law invariant risk measures on \(L^\infty(\mathbb R^d)\)
- Comonotonic measures of multivariate risks
- Sensitivity of risk measures with respect to the normal approximation of total claim distributions
- Optimal risk sharing under distorted probabilities
- Multivariate risk measures: a constructive approach based on selections
- Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
- Regression analysis: likelihood, error and entropy
- Risk minimization and optimal derivative design in a principal agent game
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- A composition between risk and deviation measures
- Risk measures under model uncertainty: a Bayesian viewpoint
- The strong Fatou property of risk measures
- Characterization, robustness, and aggregation of signed Choquet integrals
- Are law-invariant risk functions concave on distributions?
- Equilibrium Pricing Under Relative Performance Concerns
- Scenario-based risk evaluation
- Disappointment aversion premium principle
- Risk measures beyond frictionless markets
- Risk measures based on behavioural economics theory
- On the Lebesgue property of monotone convex functions
- Law-invariant functionals that collapse to the mean
- Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
- Multivariate risk measures in the non-convex setting
- Stability in locally \(L^{0}\)-convex modules and a conditional version of James' compactness theorem
- Generalized optimized certainty equivalent with applications in the rank-dependent utility model
- Inf-convolution and optimal risk sharing with countable sets of risk measures
- Quantile portfolio optimization under risk measure constraints
- Supermodular and directionally convex comparison results for general factor models
- A Boolean valued analysis approach to conditional risk
- BALAYAGE MONOTONOUS RISK MEASURES
- On the solution uniqueness in portfolio optimization and risk analysis
- Duality and stable compactness in Orlicz-type modules
- An axiomatic approach to default risk and model uncertainty in rating systems
- Distribution-Invariant Risk Measures, Entropy, and Large Deviations
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