The strong Fatou property of risk measures

DOI10.1515/demo-2018-0012zbMath1430.91132arXiv1805.05259OpenAlexW3125661116WikidataQ128992252 ScholiaQ128992252MaRDI QIDQ2283647

Shengzhong Chen, Niushan Gao, Foivos Xanthos

Publication date: 13 January 2020

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.05259

zbMATH Keywords

Fatou propertydual representationslaw-invariant risk measuresinf-convolutionsstrong Fatou propertysuper Fatou propertysurplus-invariant risk measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30)

Related Items (8)

Automatic Fatou property of law-invariant risk measures ⋮ Stability properties of Haezendonck-Goovaerts premium principles ⋮ Risk sharing for capital requirements with multidimensional security markets ⋮ On closedness of law-invariant convex sets in rearrangement invariant spaces ⋮ Is the inf-convolution of law-invariant preferences law-invariant? ⋮ 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

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