On convex risk measures on L-spaces
نویسنده
چکیده
Much of the recent literature on risk measures is concerned with essentially bounded risks in L∞. In this paper we investigate in detail continuity and representation properties of convex risk measures on Lp spaces. This frame for risks is natural from the point of view of applications since risks are typically modelled by unbounded random variables. The various continuity properties of risk measures can be interpreted as robustness properties and are useful tools for approximations. As particular examples of risk measures on Lp we discuss the expected shortfall and the shortfall risk. In the final part of the paper we consider the optimal risk allocation problem for Lp risks.
منابع مشابه
On the dual of certain locally convex function spaces
In this paper, we first introduce some function spaces, with certain locally convex topologies, closely related to the space of real-valued continuous functions on $X$, where $X$ is a $C$-distinguished topological space. Then, we show that their dual spaces can be identified in a natural way with certain spaces of Radon measures.
متن کاملOn convex risk measures on Lp-spaces
Much of the recent literature on risk measures is concerned with essentially bounded risks in L∞. In this paper we investigate in detail continuity and representation properties of convex risk measures on L spaces. This frame for risks is natural from the point of view of applications since risks are typically modelled by unbounded random variables. The various continuity properties of risk mea...
متن کاملFuzzy convergence structures in the framework of L-convex spaces
In this paper, fuzzy convergence theory in the framework of $L$-convex spaces is introduced. Firstly, the concept of $L$-convex remote-neighborhood spaces is introduced and it is shown that the resulting category is isomorphic to that of $L$-convex spaces. Secondly, by means of $L$-convex ideals, the notion of $L$-convergence spaces is introduced and it is proved that the category of $L$-con...
متن کاملCategory and subcategories of (L,M)-fuzzy convex spaces
Inthispaper, (L,M)-fuzzy domain finiteness and (L,M)-fuzzy restricted hull spaces are introduced, and several characterizations of the category (L,M)-CS of (L,M)-fuzzy convex spaces are obtained. Then, (L,M)-fuzzy stratified (resp. weakly induced, induced) convex spaces are introduced. It is proved that both categories, the category (L,M)-SCS of (L,M)-fuzzy stratified convex spaces and the cate...
متن کاملL-CONVEX SYSTEMS AND THE CATEGORICAL ISOMORPHISM TO SCOTT-HULL OPERATORS
The concepts of $L$-convex systems and Scott-hull spaces are proposed on frame-valued setting. Also, we establish the categorical isomorphism between $L$-convex systems and Scott-hull spaces. Moreover, it is proved that the category of $L$-convex structures is bireflective in the category of $L$-convex systems. Furthermore, the quotient systems of $L$-convex systems are studied.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2007