Risk measures on ordered non-reflexive Banach spaces (Q711026)
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scientific article; zbMATH DE number 5804529
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk measures on ordered non-reflexive Banach spaces |
scientific article; zbMATH DE number 5804529 |
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Risk measures on ordered non-reflexive Banach spaces (English)
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25 October 2010
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In this theoretical paper, the author extends some dual representations and continuity results which hold in the case of reflexive spaces to the class of non-reflexive Banach spaces. This allows for the presence of fat-tails or possible unbounded values as models for the random variables under study. Dual representations and continuity results are given for coherent and non-coherent convex risk measures.
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base of a cone
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numeraire asset
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coherent and convex risk measures
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dual representation of risk measures
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