Distributions with heavy tails in Orlicz spaces

DOI10.1007/S10959-016-0693-5zbMath1388.46025OpenAlexW2401971862MaRDI QIDQ1692254

Christos E. Kountzakis, Dimitrios G. Konstantinides

Publication date: 26 January 2018

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-016-0693-5

zbMATH Keywords

separabilityKantorovich functionalquasi-interior point

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Applications of functional analysis in probability theory and statistics (46N30)

Cites Work

• Optimal risk allocation for convex risk functionals in general risk domains
• A new premium calculation principle based on Orlicz norms
• A remark on arbitrage and martingale measure
• Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks.
• On Interchanging Limits and Integrals
• RISK MEASURES ON ORLICZ HEARTS
• Regular variation for measures on metric spaces
• Positive bases in ordered subspaces with the Riesz decomposition property
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