Subgradients of law-invariant convex risk measures on L 1

Abstract We introduce a generalised subgradient for law-invariant closed convex risk measures on L 1 and establish its relationship with optimal risk allocations and equilibria. Our main result gives sufficient conditions ensuring a non-empty generalised subgradient.

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Year of publication:	2009
Authors:	Svindland, Gregor
Published in:	Statistics & Decisions. - Oldenbourg Wissenschaftsverlag GmbH, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 27.2009, 02, p. 169-199
Publisher:	Oldenbourg Wissenschaftsverlag GmbH
Subject:	equilibria \| generalised subgradients \| law-invariant convex risk measures \| optimal capital and risk allocations

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Type of publication:	Article
Language:	Undetermined
Other identifiers:	10.1524/stnd.2009.1040 [DOI]
Source:	Other ZBW resources

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014621384