Law-invariant risk measures: extension properties and qualitative robustness

DOI10.1515/STRM-2014-0002MaRDI QIDQ490344zbMATH OpenOpenAlexFDO

Authors Pablo Koch-Medina, Cosimo Munari

Publication date 22 January 2015

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

Full work available at URL https://arxiv.org/abs/1401.3121, https://www.zora.uzh.ch/id/eprint/107102/1/Law_invariant_risk_measures.pdf

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)

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.

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Cited in

(9)

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

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