Dual characterization of properties of risk measures on Orlicz hearts
type: Item
instance of: scholarly article
title: Dual characterization of properties of risk measures on Orlicz hearts
zbMATH Open document ID: 1181.91092
author: Patrick Cheridito
author: Tianhui Li
published in: Mathematics and Financial Economics
publication date: 2009-09-18T00:00:00Z
review text: The paper provides some characterizations of monetary risk measures on Orlicz hearts, obtaining general conditions for the Gâteaux-differentiability, as well as conditions for the above measures to be strictly monotone with almost sure inequality, strictly convex modulo translation, strictly convex modulo comonotonicity, monotone with respect to different stochastic orders. Finally several parametric families of risk measures are studied by means of the theoretical results.
reviewed by: Emilia Di Lorenzo
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 46N10
Mathematics Subject Classification ID: 60E15
zbMATH DE Number: 5604833
zbMATH Keywords: risk measures
zbMATH Keywords: Gâteaux-differentiability
zbMATH Keywords: strict monotonicity
zbMATH Keywords: strict convexity
zbMATH Keywords: stochastic orders
zbMATH Keywords: Orlicz hearts
MaRDI profile type: Publication
full work available at URL: s11579-008-0013-7
OpenAlex ID: W2030405249
Wikidata QID: Q60163976
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DOI: 10.1007/S11579-008-0013-7
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description: scientific article; zbMATH DE number 5604833