Law-invariant risk measures: extension properties and qualitative robustness

DOI10.1515/STRM-2014-0002zbMATH Open1308.91084arXiv1401.3121OpenAlexW1714113303MaRDI QIDQ490344FDOQ490344

Authors: Pablo Koch-Medina, Cosimo Munari 

Publication date: 22 January 2015

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Abstract: We characterize when a convex risk measure associated to a law-invariant acceptance set in $L^{i}nfty$ can be extended to $L^p$, $1leqp<infty$, preserving finiteness and continuity. This problem is strongly connected to the statistical robustness of the corresponding risk measures. Special attention is paid to concrete examples including risk measures based on expected utility, max-correlation risk measures, and distortion risk measures.

Full work available at URL: https://arxiv.org/abs/1401.3121

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zbMATH Keywords

expected utilitystatistical robustnessdistortion risk measuresacceptance setsindex of qualitative robustnesslaw invarianceextension of risk measuresindex of finitenessmax-correlation risk measures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

Cited In (9)

• Law-Invariant Functionals on General Spaces of Random Variables
• Set-valued law invariant coherent and convex risk measures
• Comparative and qualitative robustness for law-invariant risk measures
• Distortion risk measures: prudence, coherence, and the expected shortfall
• On the extension property of dilatation monotone risk measures
• Dilatation monotone risk measures are law invariant
• Estimation and backtesting of risk measures with emphasis on distortion risk measures
• Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
• Qualitative robustness of utility-based risk measures

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