Lebesgue property of convex risk measures for bounded càdlàg processes

DOI10.4310/MAA.2011.V18.N3.A4MaRDI QIDQ390190zbMATH OpenFDO

Authors Hirbod Assa

Publication date 22 January 2014

Published in Methods and Applications of Analysis (Search for Journal in Brave)

Full work available at URL http://intlpress.com/site/pub/pages/journals/items/maa/content/vols/0018/0003/a004/index.html

zbMATH Keywords

convex risk measuresLebes\-gue propertystatic riskbounded càdlàg processes

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Convex sets in topological vector spaces (aspects of convex geometry) (52A07) Duality theory for topological vector spaces (46A20) Stochastic processes (60G99)

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Cited in

(6)

• On the risk consistency and monotonicity of ruin theory
• On the Lebesgue property of monotone convex functions
• Risk measures for processes and BSDEs
• The strong Fatou property of risk measures
• Lebesgue property for convex risk measures on Orlicz spaces
• Erratum: Coherent and convex risk measures for unbounded càdlàg processes

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