On the worst conditional expectation.
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.
scientific article; zbMATH DE number 2003903