ON THE PENALTY FUNCTION AND ON CONTINUITY PROPERTIES OF RISK MEASURES

We discuss two issues about risk measures: we first point out an alternative interpretation of the penalty function in the dual representation of a risk measure; then we analyze the continuity properties of comonotone convex risk measures. In particular, due to the loss of convexity, local and global continuity are no more equivalent and many implications true for convex risk measures do not hold any more.

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Year of publication:	2011
Authors:	FRITTELLI, MARCO ; GIANIN, EMANUELA ROSAZZA
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 14.2011, 01, p. 163-185
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Risk measures \| penalty function \| continuity

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008862301