scholarly journals On the Neyman–Pearson problem for law-invariant risk measures and robust utility functionals

2004 ◽  
Vol 14 (3) ◽  
pp. 1398-1423 ◽  
Author(s):  
Alexander Schied
Keyword(s):  
Risk Measures ◽  
Law Invariant Risk Measures

scholarly journals Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces

2018 ◽  
Vol 22 (2) ◽  
pp. 395-415 ◽  
Author(s):  
Niushan Gao ◽  
Denny Leung ◽  
Cosimo Munari ◽  
Foivos Xanthos
Keyword(s):  
Risk Measures ◽  
Orlicz Spaces ◽  
Fatou Property ◽  
Law Invariant Risk Measures

scholarly journals Law invariant risk measures and information divergences

2018 ◽  
Vol 6 (1) ◽  
pp. 228-258
Author(s):  
Daniel Lacker
Keyword(s):  
Relative Entropy ◽  
Risk Measures ◽  
Time Consistency ◽  
Probability Measures ◽  
Classical Information ◽  
Natural Properties ◽  
Certainty Equivalents ◽  
Shortfall Risk ◽  
Information Divergence ◽  
Law Invariant Risk Measures

AbstractAone-to-one correspondence is drawnbetween lawinvariant risk measures and divergences,which we define as functionals of pairs of probability measures on arbitrary standard Borel spaces satisfying a few natural properties. Divergences include many classical information divergence measures, such as relative entropy and convex f -divergences. Several properties of divergence and their duality with law invariant risk measures are characterized, such as joint semicontinuity and convexity, and we notably relate their chain rules or additivity properties with certain notions of time consistency for dynamic law risk measures known as acceptance and rejection consistency. The examples of shortfall risk measures and optimized certainty equivalents are discussed in detail.

scholarly journals Law invariant risk measures onL∞(ℝd)

2011 ◽  
Vol 28 (3) ◽  
pp. 195-225 ◽  
Author(s):  
Ivar Ekeland ◽  
Walter Schachermayer
Keyword(s):  
Risk Measures ◽  
Law Invariant Risk Measures

scholarly journals Law invariant risk measures have the Fatou property

2007 ◽  
pp. 49-71 ◽  
Author(s):  
Elyès Jouini ◽  
Walter Schachermayer ◽  
Nizar Touzi
Keyword(s):  
Risk Measures ◽  
Fatou Property ◽  
Law Invariant Risk Measures

Optimal reinsurance under general law-invariant risk measures

2011 ◽  
Vol 2014 (1) ◽  
pp. 72-91 ◽  
Author(s):  
K.C. Cheung ◽  
K.C.J. Sung ◽  
S.C.P. Yam ◽  
S.P. Yung
Keyword(s):  
Risk Measures ◽  
Optimal Reinsurance ◽  
General Law ◽  
Law Invariant Risk Measures

scholarly journals Law-invariant risk measures: Extension properties and qualitative robustness

2014 ◽  
Vol 31 (3-4) ◽  
Author(s):  
Pablo Koch-Medina ◽  
Cosimo Munari
Keyword(s):  
Risk Measures ◽  
Risk Measure ◽  
Convex Risk Measure ◽  
Qualitative Robustness ◽  
Acceptance Set ◽  
Law Invariant Risk Measures

AbstractWe characterize when a convex risk measure associated to a law-invariant acceptance set in

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