Subgradients of law-invariant convex risk measures on L1

DOI10.1524/stnd.2009.1040zbMath1203.91116OpenAlexW2006229698MaRDI QIDQ3576393

Gregor Svindland

Publication date: 30 July 2010

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2009.1040

zbMATH Keywords

equilibrialaw-invariant convex risk measuresoptimal capitalgeneralised subgradientsrisk allocations

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Measures and integration on abstract linear spaces (46G12)

Related Items (7)

Model spaces for risk measures ⋮ An analytical study of norms and Banach spaces induced by the entropic value-at-risk ⋮ Bowley vs. Pareto optima in reinsurance contracting ⋮ Risk sharing for capital requirements with multidimensional security markets ⋮ On Banach spaces of vector-valued random variables and their duals motivated by risk measures ⋮ Dual representation of monotone convex functions on 𝐿⁰ ⋮ Extended gradient of convex function and capital allocation

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