Subgradients of law-invariant convex risk measures on L^1

DOI10.1524/STND.2009.1040MaRDI QIDQ3576393zbMATH OpenOpenAlexFDO

Authors Gregor Svindland

Publication date 30 July 2010

Published in Statistics & Decisions (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1524/stnd.2009.1040

zbMATH Keywords

equilibriageneralised subgradientslaw-invariant convex risk measuresoptimal capitalrisk allocations

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Measures and integration on abstract linear spaces (46G12)

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Cited in

(12)

• Model spaces for risk measures
• An analytical study of norms and Banach spaces induced by the entropic value-at-risk
• On Banach spaces of vector-valued random variables and their duals motivated by risk measures
• Extended gradient of convex function and capital allocation
• Risk sharing for capital requirements with multidimensional security markets
• Subdifferential representations of risk measures
• Dual representation of monotone convex functions on 𝐿⁰
• Convex risk measures beyond bounded risks
• Are law-invariant risk functions concave on distributions?
• Bowley vs. Pareto optima in reinsurance contracting
• Risk sharing under heterogeneous beliefs without convexity
• Efficiency in pure-exchange economies with risk-averse monetary utilities

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