Dilatation monotonicity and convex order

DOI10.1007/S11579-013-0112-YzbMATH Open1318.46054OpenAlexW2008712683MaRDI QIDQ468115FDOQ468115

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

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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)

Cites Work

• Measure preserving transformations and rearrangements
• Title not available (Why is that?)
• Dilatation monotone risk measures are law invariant
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• 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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