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On the representation of weakly maxitive monetary risk measures and their rate functions - MaRDI portal

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On the representation of weakly maxitive monetary risk measures and their rate functions

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Publication:6404798

DOI10.1016/J.JMAA.2023.127072arXiv2207.05982MaRDI QIDQ6404798

Author name not available (Why is that?)

Publication date: 13 July 2022

Abstract: The present paper provides a representation result for monetary risk measures (i.e., monotone translation invariant functionals) satisfying a weak maxitivity property. This result can be understood as a functional analytic generalization of G"{a}rtner-Ellis large deviations theorem. In contrast to the classical G"{a}rtner-Ellis theorem, the rate function is computed on an arbitrary set of continuous real-valued functions rather than the dual space. As an application of the main result, we establish a large deviation result for sequences of sublinear expectations on regular Hausdorff topological spaces.





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