Law-invariant functionals that collapse to the mean
نویسندگان
چکیده
We discuss when law-invariant convex functionals “collapse to the mean”. More precisely, we show that, in a large class of spaces random variables and under mild semicontinuity assumptions, expectation functional is, up an affine transformation, only that is linear along direction nonconstant variable with nonzero expectation. This extends results obtained literature bounded setting additional assumptions on functionals. illustrate implications our general for pricing rules risk measures.
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ژورنال
عنوان ژورنال: Insurance Mathematics & Economics
سال: 2021
ISSN: ['0167-6687', '1873-5959']
DOI: https://doi.org/10.1016/j.insmatheco.2021.03.002