Uniqueness of Kusuoka Representations

arXiv1210.7257MaRDI QIDQ6236685FDOQ6236685

Authors: Alois Pichler, Alexander Shapiro 

Publication date: 26 October 2012

Abstract: This paper addresses law invariant coherent risk measures and their Kusuoka representations. By elaborating the existence of a minimal representation we show that every Kusuoka representation can be reduced to its minimal representation. Uniqueness -- in a sense specified in the paper -- of the risk measure's Kusuoka representation is derived from this initial result. Further, stochastic order relations are employed to identify the minimal Kusuoka representation. It is shown that measures in the minimal representation are extremal with respect to the order relations. The tools are finally employed to provide the minimal representation for important practical examples. Although the Kusuoka representation is usually given only for nonatomic probability spaces, this presentation closes the gap to spaces with atoms.

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