Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)

DOI10.1007/s11579-010-0026-xzbMath1255.91186OpenAlexW2110507949MaRDI QIDQ1932531

Gregor Svindland

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-010-0026-x

zbMATH Keywords

dualityFatou propertyC02C60law-invariant (quasi-)convex risk measures

Mathematics Subject Classification ID

Related Items (21)

A note on robust representations of law-invariant quasiconvex functions ⋮ Law-invariant functionals that collapse to the mean: beyond convexity ⋮ Automatic Fatou property of law-invariant risk measures ⋮ Similar risks have similar prices: a useful and exact quantification ⋮ A Harris-Kesten theorem for confetti percolation ⋮ Model spaces for risk measures ⋮ Bowley vs. Pareto optima in reinsurance contracting ⋮ Fundamental theorem of asset pricing with acceptable risk in markets with frictions ⋮ Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces ⋮ Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\) ⋮ Risk sharing for capital requirements with multidimensional security markets ⋮ Elicitability and identifiability of set-valued measures of systemic risk ⋮ The strong Fatou property of risk measures ⋮ Law-invariant functionals that collapse to the mean ⋮ A composition between risk and deviation measures ⋮ On closedness of law-invariant convex sets in rearrangement invariant spaces ⋮ Liquidity, Risk Measures, and Concentration of Measure ⋮ On the extension property of dilatation monotone risk measures ⋮ Law-Invariant Functionals on General Spaces of Random Variables ⋮ Efficient allocations under law-invariance: a unifying approach ⋮ RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION

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