Dilatation monotonicity and convex order

DOI10.1007/s11579-013-0112-yzbMath1318.46054OpenAlexW2008712683MaRDI QIDQ468115

Gregor Svindland

Publication date: 6 November 2014

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

Full work available at URL: https://doi.org/10.1007/s11579-013-0112-y

zbMATH Keywords

convex ordersecond-order stochastic dominancedilatation monotonicitylaw invarianceuniform order

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Applications of functional analysis in probability theory and statistics (46N30) Actuarial science and mathematical finance (91G99)

Related Items (6)

Similar risks have similar prices: a useful and exact quantification ⋮ Risk Aversion in Regulatory Capital Principles ⋮ Are law-invariant risk functions concave on distributions? ⋮ The strong Fatou property of risk measures ⋮ On the extension property of dilatation monotone risk measures ⋮ Law-Invariant Functionals on General Spaces of Random Variables

Cites Work

• Unnamed Item
• Minimal topologies and \(L_p\)-spaces
• Dilatation monotone risk measures are law invariant
• Measure preserving transformations and rearrangements
• Optimal transport and the geometry of $L^{1}(\mathbb {R}^d)$
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS

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