Kusuoka representations of coherent risk measures in general probability spaces

DOI10.1007/S10479-014-1748-6zbMATH Open1358.91066OpenAlexW2142865798MaRDI QIDQ492837FDOQ492837

Authors: Nilay Noyan, Gábor Rudolf 

Publication date: 21 August 2015

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-014-1748-6

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zbMATH Keywords

comonotonicitycoherent risk measuresspectral risk measureslaw invarianceKusuoka representationacceptability functional

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Cites Work

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• Law invariant convex risk measures
• Law invariant risk measures have the Fatou property
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• Kusuoka representation of higher order dual risk measures
• Schur convex functionals: Fatou property and representation
• Optimization with Multivariate Conditional Value-at-Risk Constraints
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• On Kusuoka representation of law invariant risk measures
• A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES
• Matrix Rounding Problems
• Risk preferences on the space of quantile functions
• Common mathematical foundations of expected utility and dual utility theories
• Kusuoka representations of coherent risk measures in general probability spaces
• Title not available (Why is that?)

Cited In (10)

• Set-valued law invariant coherent and convex risk measures
• Refinements of Kusuoka representations on \(L^\infty\)
• Superquantile/CVaR risk measures: second-order theory
• A quantitative comparison of risk measures
• Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics
• Kusuoka representations of coherent risk measures in general probability spaces
• Risk forms: representation, disintegration, and application to partially observable two-stage systems
• Kusuoka representation of higher order dual risk measures
• A composition between risk and deviation measures
• Optimization with stochastic preferences based on a general class of scalarization functions

Uses Software

• QRM

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