RISK MEASURES ON ORLICZ HEARTS

DOI10.1111/j.1467-9965.2009.00364.xzbMath1168.91409OpenAlexW2023958886MaRDI QIDQ3393968

Publication date: 28 August 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2009.00364.x

zbMATH Keywords

Orlicz spaces coherent risk measures acceptance sets convex monetary risk measures transformed norm risk measures robust representations monetary risk measures cash-additive hulls transformed loss risk measures

Mathematics Subject Classification ID

Related Items

Domains of weak continuity of statistical functionals with a view toward robust statistics, Risk measures with the CxLS property, Optimal stopping under model uncertainty: randomized stopping times approach, Cash subadditive risk measures for portfolio vectors, Duality in a Problem of Static Partial Hedging under Convex Constraints, Monetary risk measures for stochastic processes via Orlicz duality, Performance measurement with expectiles, Risk measures and their application to staffing nonstationary service systems, Exponential models by Orlicz spaces and applications, Automatic Fatou property of law-invariant risk measures, Dynamic Limit Growth Indices in Discrete Time, Optimal reinsurance under risk and uncertainty on Orlicz hearts, Statistical estimation of composite risk functionals and risk optimization problems, Coherent risk measures in general economic models and price bubbles, Option spanning beyond \(L_p\)-models, Model spaces for risk measures, Conditional risk and acceptability mappings as Banach-lattice valued mappings, Convex risk measures on Orlicz spaces: inf-convolution and shortfall, A concept of copula robustness and its applications in quantitative risk management, Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets, Mean‐ portfolio selection and ‐arbitrage for coherent risk measures, An analytical study of norms and Banach spaces induced by the entropic value-at-risk, Addendum to: Entropic value-at-risk: a new coherent risk measure, Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures, Smallest order closed sublattices and option spanning, Distributions with heavy tails in Orlicz spaces, Lebesgue property for convex risk measures on Orlicz spaces, Duality and stable compactness in Orlicz-type modules, Kusuoka representation of higher order dual risk measures, Robust return risk measures, A pessimistic bilevel stochastic problem for elastic shape optimization, Measures of Systemic Risk, Duality Formulas for Robust Pricing and Hedging in Discrete Time, Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces, Optimal stopping with dynamic variational preferences, GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS, Stability properties of Haezendonck-Goovaerts premium principles, Maximum Lebesgue extension of monotone convex functions, Haezendonck-Goovaerts risk measures and Orlicz quantiles, Regulator-based risk statistics with scenario analysis, Unnamed Item, Sensitivity of risk measures with respect to the normal approximation of total claim distributions, Comparative and qualitative robustness for law-invariant risk measures, Beyond cash-additive risk measures: when changing the numéraire fails, On the Lebesgue property of monotone convex functions, DISTORTION RISKMETRICS ON GENERAL SPACES, On a class of law invariant convex risk measures, Optimal initial capital induced by the optimized certainty equivalent, Multivariate Shortfall Risk Allocation and Systemic Risk, INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES, COMONOTONIC MEASURES OF MULTIVARIATE RISKS, Coherent and convex loss-based risk measures for portfolio vectors, Monotone Sharpe ratios and related measures of investment performance, Worst case portfolio vectors and diversification effects, Statistical Inference for Expectile‐based Risk Measures, Compactness, Optimality, and Risk, Risk measures on ordered non-reflexive Banach spaces, Risk sharing for capital requirements with multidimensional security markets, Risk measures in ordered normed linear spaces with non-empty cone-interior, Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures, Robustness regions for measures of risk aggregation, On Banach spaces of vector-valued random variables and their duals motivated by risk measures, Robust Utility Maximization without Model Compactness, Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences, The natural Banach space for version independent risk measures, Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices, Long-run risk sensitive dyadic impulse control, A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective, Capital requirements with defaultable securities, Risk-Averse Models in Bilevel Stochastic Linear Programming, Representation of increasing convex functionals with countably additive measures, Булевозначный подход к анализу условного риска, A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time, Mackey constraints for James's compactness theorem and risk measures, Liquidity, Risk Measures, and Concentration of Measure, Quantile-Based Risk Sharing, On fairness of systemic risk measures, On continuity in risk-averse bilevel stochastic linear programming with random lower level objective function, On the extension property of dilatation monotone risk measures, MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS, Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures, Risk optimization with \(p\)-order conic constraints: a linear programming approach, Existence of solutions for a class of bilevel stochastic linear programs, Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences, Higher-moment buffered probability, Robust Portfolio Choice and Indifference Valuation, Bilevel Linear Optimization Under Uncertainty, Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives, DYNAMIC COHERENT ACCEPTABILITY INDICES AND THEIR APPLICATIONS TO FINANCE, CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS

Cites Work