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Koch-Medina, Pablo; Munari, Cosimo (2014). Law-invariant risk measures: extension properties and qualitative robustness. Statistics & Risk Modeling, 31(3):1-22.
We characterize when a convex risk measure associated to a law-invariant acceptance set in L$^∞$ can be extended to L$^p$, 1≤p<∞, preserving finiteness and continuity. This problem is strongly connected to the statistical robustness of the corresponding risk measures. Special attention is paid to concrete examples including risk measures based on expected utility, max-correlation risk measures, and distortion risk measures.
| Item Type: | Journal Article, refereed, original work |
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| Communities & Collections: | 03 Faculty of Economics > Department of Finance |
| Dewey Decimal Classification: | 330 Economics |
| Scopus Subject Areas: | Physical Sciences > Statistics and Probability
Physical Sciences > Modeling and Simulation Social Sciences & Humanities > Statistics, Probability and Uncertainty |
| Scope: | Discipline-based scholarship (basic research) |
| Language: | English |
| Date: | 6 September 2014 |
| Deposited On: | 20 Feb 2015 09:28 |
| Last Modified: | 06 Nov 2024 04:37 |
| Publisher: | De Gruyter |
| ISSN: | 2193-1402 |
| OA Status: | Green |
| Publisher DOI: | https://doi.org/10.1515/strm-2014-0002 |
| Related URLs: | https://www.degruyter.com/document/doi/10.1515/strm-2014-0002/html |
| Other Identification Number: | merlin-id:10222 |
| Project Information: |
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Koch-Medina, Pablo