Comparative and qualitative robustness for law-invariant risk measures

DOI10.1007/s00780-013-0225-4zbMath1298.91195arXiv1204.2458OpenAlexW2094060802MaRDI QIDQ468411

Volker Krätschmer, Alexander Schied, Henryk Zähle

Publication date: 7 November 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.2458

zbMATH Keywords

Orlicz spacelaw-invariant risk measureconvex risk measurecoherent risk measuredistortion risk measurequalitative robustness\(\psi\)-weak topologycomparative robustnessHampel's theoremindex of qualitative robustnessSkorohod representation

Mathematics Subject Classification ID

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