The Canonical Model Space for Law - invariant Convex Risk Measures is L 1 ∗
نویسندگان
چکیده
In this paper we establish a one-to-one correspondence between lawinvariant convex risk measures on L∞ and L. This proves that the canonical model space for the predominant class of law-invariant convex risk measures is L.
منابع مشابه
Convex Risk Measures Beyond Bounded Risks, or The Canonical Model Space for Law-Invariant Convex Risk Measures is L^1
In this paper we provide a rigorous toolkit for extending convex risk measures from L∞ to L, for p ≥ 1. Our main result is a one-to-one correspondence between law-invariant convex risk measures on L∞ and L. This proves that the canonical model space for the predominant class of law-invariant convex risk measures is L. Some significant counterexamples illustrate the many pitfalls with convex ris...
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