Search Results - subject:"L0-modules"

Complete duality for quasiconvex dynamic risk measures on modules of the Lp-type

Marco, Frittelli; Marco, Maggis - In: Statistics & Risk Modeling 31 (2014) 1, pp. 26-26

In the conditional setting we provide a complete duality between quasiconvex risk measures defined on L0 modules of the …

Persistent link: https://www.econbiz.de/10011015537

Complete duality for quasiconvex dynamic risk measures on modules of the L p -type

Frittelli, Marco; Maggis, Marco - In: Statistics & Risk Modeling 31 (2014) 1, pp. 103-128

Abstract In the conditional setting we provide a complete duality between quasiconvex risk measures defined on L 0 … modules of the L p type and the appropriate class of dual functions. This is based on a general result which extends the usual …

Persistent link: https://www.econbiz.de/10014621222

Approaches to conditional risk

FILIPOVIC, Damir; KUPPER, Michael; VOGELPOTH, Nicolas

We present and compare two dierent approaches to conditional risk measures. One approach draws from convex analysis in vector spaces and presents risk measures as functions on Lp spaces, while the other approach utilizes module-based convex analysis where conditional risk measures are dened on...

Persistent link: https://www.econbiz.de/10010550288