Model spaces for risk measures

Felix-Benedikt Liebrich and Gregor Svindland

Insurance: Mathematics and Economics, 2017, vol. 77, issue C, 150-165

Abstract: We show how risk measures originally defined in a model free framework in terms of acceptance sets and reference assets imply a meaningful underlying probability structure. Hereafter we construct a maximal domain of definition of the risk measure respecting the underlying ambiguity profile. We particularly emphasise liquidity effects and discuss the correspondence between properties of the risk measure and the structure of this domain as well as subdifferentiability properties.

Keywords: Model free risk assessment; Extension of risk measures; Continuity properties of risk measures; Subgradients; Implied reference models (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:77:y:2017:i:c:p:150-165

DOI: 10.1016/j.insmatheco.2017.09.006

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