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Law-invariant risk measures: extension properties and qualitative robustness


Koch-Medina, Pablo; Munari, Cosimo (2014). Law-invariant risk measures: extension properties and qualitative robustness. Statistics & Risk Modeling, 31(3):1-22.

Abstract

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.

Abstract

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.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and 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:07 May 2024 03:41
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:
  • : FunderSNSF
  • : Grant ID51NF40-144611
  • : Project TitleCapital adequacy, valuation, and portfolio selection for insurance companies