Maxitive monetary risk measures on subsets of L⁰: worst-case risk assessment and sharp large deviations

arXiv2211.17245MaRDI QIDQ6507191FDOQ6507191

Authors: José Miguel Zapata 

Abstract: In large deviations theory one usually has a family of probability measures in some space $X$ with a topology. In this paper we study what kind of large deviation results can be established when no topology is assumed on the underlying measure space $X$. The main tool is duality theory of risk measures. We prove that a monetary risk measures $phi$ satisfies the Laplace principle $phi(f)={mess.sup}_X(f-I)$ for some measurable function $IcolonXo[0,infty]$ if and only $phi$ is maxitive and continuous from below. In the special case of the asymptotic entropy $psi(f)=li{m}_{noinfty}frac1nlogint{e}^{nf}d{u}_n$, this result can been understood as a non-topological analogue of the Varadhan's integral lemma. In the spirit of Bryc's theorem, we study non-topological analogues of exponential tightness which ensure the Laplace principle characterised in the main result. The theory is applied to obtain non-topological large deviation results for sequences of sublinear expectations.

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