Dilatation monotonicity and convex order

DOI10.1007/S11579-013-0112-YMaRDI QIDQ468115zbMATH OpenOpenAlexFDO

Authors Gregor Svindland

Publication date 6 November 2014

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-013-0112-y

zbMATH Keywords

convex ordersecond-order stochastic dominancedilatation monotonicitylaw invarianceuniform order

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Actuarial science and mathematical finance (91G99)

Recommendations

• Dilatation monotone risk measures are law invariant
• Law-Invariant Functionals on General Spaces of Random Variables
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Cites work

• scientific article; zbMATH DE number 3137662 (Why is no real title available?)
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• Dilatation monotone risk measures are law invariant
• Measure preserving transformations and rearrangements
• Minimal topologies and L_p-spaces
• Optimal transport and the geometry of $L^{1}(\mathbb {R}^d)$

Cited in

(6)

• Law-Invariant Functionals on General Spaces of Random Variables
• Are law-invariant risk functions concave on distributions?
• Risk aversion in regulatory capital principles
• Similar risks have similar prices: a useful and exact quantification
• On the extension property of dilatation monotone risk measures
• The strong Fatou property of risk measures

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