On the worst conditional expectation.
type: Item
instance of: scholarly article
title: On the worst conditional expectation.
zbMATH Open document ID: 1160.60301
DOI: 10.1016/S0022-247X(03)00477-3
author: Akihiko Inoue
published in: Journal of Mathematical Analysis and Applications
publication date: 2003-11-16T00:00:00Z
review text: The paper deals with the characterization of coherent risk measures, framing the analysis within a unitary system for defined risks. In this order of ideas, continuous coherent risk measures on \(L^p\) are studied, in particular the law invariant ones. Special attention is paid to the worst conditional expectations, since, under opportune hypotheses on the probability space, the continuous, law invariant, coherent risk measures on \(L^p\) can be represented by the worst conditional expectations.
reviewed by: Emilia Di Lorenzo
Mathematics Subject Classification ID: 60B05
Mathematics Subject Classification ID: 62F03
zbMATH DE Number: 2003903
zbMATH Keywords: coherent risk measure
zbMATH Keywords: worst conditional expectation
zbMATH Keywords: Neyman-Pearson lemma
MaRDI profile type: Publication
cites work: Coherent measures of risk
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full work available at URL: s0022-247x(03)00477-3
OpenAlex ID: W2080120649
description: scientific article; zbMATH DE number 2003903