منابع مشابه
Risk measures with the CxLS property
A law invariant risk measure ρ has the Convex Levels Sets property (CxLS) if ρ(F ) = ρ(G) = γ ⇒ ρ(λF + (1− λ)G) = γ, for each γ ∈ (0, 1). The level sets of ρ are convex with respect to mixtures of distributions; such a convexity has not to be confused with convexity or quasi-convexity with respect to sums of random variables. In the axiomatic theory of risk measures, the CxLS property arises na...
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S. Kusuoka [K 01, Theorem 4] gave an interesting dual characterization of law invariant coherent risk measures, satisfying the Fatou property. The latter property was introduced by F. Delbaen [D 02]. In the present note we extend Kusuoka’s characterization in two directions, the first one being rather standard, while the second one is somewhat surprising. Firstly we generalize — similarly as M....
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2015
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-015-0279-6