Convex risk measures on Orlicz spaces: inf-convolution and shortfall

DOI10.1007/s11579-010-0028-8zbMath1255.91173OpenAlexW2093722557MaRDI QIDQ1932533

Takuji Arai

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/s11579-010-0028-8

zbMATH Keywords

Orlicz spaceinf-convolutionconvex risk measureshortfall

Mathematics Subject Classification ID

Related Items (8)

New real-variable characterizations of anisotropic weak Hardy spaces of Musielak-Orlicz type ⋮ Optimal reinsurance under risk and uncertainty on Orlicz hearts ⋮ Generalization of Orlicz spaces ⋮ Weak Orlicz–Hardy martingale spaces ⋮ Maximum Lebesgue extension of monotone convex functions ⋮ Efficient hedging under ambiguity in continuous time ⋮ The operation of infimal/supremal convolution in mathematical economics ⋮ Булевозначный подход к анализу условного риска

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