ON THE PENALTY FUNCTION AND ON CONTINUITY PROPERTIES OF RISK MEASURES

Marco Frittelli () and Emanuela Rosazza Gianin ()
Additional contact information
Marco Frittelli: Dipartimento di Matematica, Università degli Studi di Milano, Via C. Saldini 50, 20122 Milano, Italy
Emanuela Rosazza Gianin: Dipartimento di Metodi Quantitativi, Università di Milano-Bicocca, Via Bicocca degli Arcimboldi 8, 20126 Milano, Italy

International Journal of Theoretical and Applied Finance (IJTAF), 2011, vol. 14, issue 01, 163-185

Abstract: We discuss two issues about risk measures: we first point out an alternative interpretation of the penalty function in the dual representation of a risk measure; then we analyze the continuity properties of comonotone convex risk measures. In particular, due to the loss of convexity, local and global continuity are no more equivalent and many implications true for convex risk measures do not hold any more.

Keywords: Risk measures; penalty function; continuity (search for similar items in EconPapers)
Date: 2011
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024911006309
Access to full text is restricted to subscribers

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:wsi:ijtafx:v:14:y:2011:i:01:n:s0219024911006309

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024911006309

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().