Dual characterization of properties of risk measures on Orlicz hearts
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Publication:841649
DOI10.1007/S11579-008-0013-7zbMATH Open1181.91092OpenAlexW2030405249WikidataQ60163976 ScholiaQ60163976MaRDI QIDQ841649FDOQ841649
Authors: Patrick Cheridito, Tianhui Li 
Publication date: 18 September 2009
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-008-0013-7
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risk measuresstrict monotonicitystochastic ordersstrict convexity[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=G%EF%BF%BD%EF%BF%BDteaux-differentiability&go=Go G��teaux-differentiability]Orlicz hearts
Inequalities; stochastic orderings (60E15) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Financial applications of other theories (91G80)
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Cited In (34)
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- Exchanges and measures of risks
- Dual characterization of properties of risk measures on Orlicz hearts
- Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
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- RISK MEASURES ON ORLICZ HEARTS
- Haezendonck-Goovaerts risk measures and Orlicz quantiles
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