Conditional divergence risk measures

arXiv2211.04592MaRDI QIDQ6416614FDOQ6416614

Authors: Giulio Principi, Fabio Maccheroni 

Publication date: 8 November 2022

Abstract: Our paper contributes to the theory of conditional risk measures and conditional certainty equivalents. We adopt a random modular approach which proved to be effective in the study of modular convex analysis and conditional risk measures. In particular, we study the conditional counterpart of optimized certainty equivalents. In the process, we provide representation results for niveloids in the conditional $L^{infty}$-space. By employing such representation results we retrieve a conditional version of the variational formula for optimized certainty equivalents. In conclusion, we apply this formula to provide a variational representation of the conditional entropic risk measure.

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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