On convex risk measures on \(L^{p}\)-spaces (Q1028536)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On convex risk measures on \(L^{p}\)-spaces |
scientific article; zbMATH DE number 5575940
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On convex risk measures on \(L^{p}\)-spaces |
scientific article; zbMATH DE number 5575940 |
Statements
On convex risk measures on \(L^{p}\)-spaces (English)
0 references
6 July 2009
0 references
The paper deals with continuity and representation properties of convex risk measures on \(L^p\) spaces. The basic idea is inspired by the risk analysis in the financial market. In this order of ideas, continuity and representation properties of general convex risk measures on \(L^p\) are investigated, so obtaining results apt to describe basic risk components as well as to assess robustness properties of risk measures. The authors present some examples of risk measures on \(L^p\) and discuss the expect shortfall and the shortfall risk. Moreover they consider the optimal risk allocation problem for \(L^p\) risks.
0 references
convex risk measure
0 references
expected shortfall
0 references
optimal risk allocation
0 references
