Monotone and cash-invariant convex functions and hulls

DOI10.1016/J.INSMATHECO.2006.08.003zbMATH Open1119.91051OpenAlexW2010573607MaRDI QIDQ997078FDOQ997078

Authors: Damir Filipović, Michael Kupper 

Publication date: 19 July 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.08.003

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zbMATH Keywords

convex dualityinfimal convolutioninsurance regulationconstrained risk measuresmonotone and cash-invariant functions and hulls

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

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• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES

Cited In (27)

• On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility
• EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
• Sensitivity analysis in applications with deviation, risk, regret, and error measures
• The average risk sharing problem under risk measure and expected utility theory
• The restricted convex risk measures in actuarial solvency
• Dual characterization of properties of risk measures on Orlicz hearts
• Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
• OPTIMAL NUMERAIRES FOR RISK MEASURES
• On convex risk measures on \(L^{p}\)-spaces
• Dilatation monotonicity and convex order
• Restricted coherent risk measures and actuarial solvency
• Niveloids and their extensions: risk measures on small domains
• On the Lebesgue property of monotone convex functions
• Optimal capital and risk allocations for law- and cash-invariant convex functions
• Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures
• A note on the Swiss solvency test risk measure
• The risk measures based on convex functions
• The operation of infimal/supremal convolution in mathematical economics
• On the extension property of dilatation monotone risk measures
• Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
• Beyond cash-additive risk measures: when changing the numéraire fails
• A primal--dual operation on sets linked with closed convex relaxation processes
• RISK MEASURES ON ORLICZ HEARTS
• A decomposition of general premium principles into risk and deviation
• OPTIMAL NUMERAIRES FOR RISK MEASURES
• A composition between risk and deviation measures
• Haezendonck-Goovaerts risk measures and Orlicz quantiles

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