Are law-invariant risk functions concave on distributions?

DOI10.2478/demo-2013-0003zbMath1290.91072OpenAlexW2127598114MaRDI QIDQ5417590

Gregor Svindland, Beatrice Acciaio

Publication date: 21 May 2014

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

Full work available at URL: https://doi.org/10.2478/demo-2013-0003

zbMATH Keywords

convexitycomonotonicitylaw-invariant risk measureconvex order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

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