Monetary Risk Functionals on Orlicz Spaces Produced by Set-Valued Risk Maps and Random Measures

Dimitrios G. Konstantinides () and Christos E. Kountzakis ()
Additional contact information
Dimitrios G. Konstantinides: University of the Aegean, Department of Mathematics
Christos E. Kountzakis: University of the Aegean, Department of Mathematics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 125-128 from Springer

Abstract: Abstract In this article we study the construction of coherent or convex risk functionals defined either on an Orlicz heart, either on an Orlicz space, with respect to a Young loss function. The Orlicz heart is taken as a subset of $L^{0}(\varOmega, \mathcal{F}, \mu)$ endowed with the pointwise partial ordering. We define set-valued risk maps related to this partial ordering. We also derive monetary risk functionals both by the class of coherent set-valued risk maps defined on them. We also use random measures related to heavy-tailed distributions in order to define monetary risk functionals on Orlicz spaces, whose properties are also compared to the previous ones.

Keywords: Set-valued risk measure; Random measure; Young loss function; Orlicz heart (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-05014-0_29

Ordering information: This item can be ordered from
http://www.springer.com/9783319050140

DOI: 10.1007/978-3-319-05014-0_29

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().