Law-invariant risk measures: extension properties and qualitative robustness

DOI10.1515/strm-2014-0002zbMath1308.91084arXiv1401.3121OpenAlexW1714113303MaRDI QIDQ490344

Cosimo Munari, Pablo Koch-Medina

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

zbMATH Keywords

expected utilitystatistical robustnessdistortion risk measureslaw invarianceindex of qualitative robustnessacceptance setsextension of risk measuresindex of finitenessmax-correlation risk measures

Mathematics Subject Classification ID

Related Items (3)

SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES ⋮ On the extension property of dilatation monotone risk measures ⋮ Law-Invariant Functionals on General Spaces of Random Variables

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