Law-invariant risk measures: Extension properties and qualitative robustness

Abstract We characterize when a convex risk measure associated to a law-invariant acceptance set in L ∞ can be extended to L p , $1\le p<\infty $ , 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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Year of publication:	2014
Authors:	Koch-Medina, Pablo ; Munari, Cosimo
Published in:	Statistics & Risk Modeling. - De Gruyter Oldenbourg, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 31.2014, 3-4, p. 215-236
Publisher:	De Gruyter Oldenbourg
Subject:	Extension of risk measures \| acceptance sets \| law invariance \| statistical robustness \| index of finiteness \| index of qualitative robustness \| expected utility \| max-correlation risk measures \| distortion risk measures

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.1515/strm-2014-0002 [DOI]
Source:	Other ZBW resources

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