RISK MEASURES ON ORLICZ HEARTS

Patrick Cheridito and Tianhui Li

Mathematical Finance, 2009, vol. 19, issue 2, 189-214

Abstract: Coherent, convex, and monetary risk measures were introduced in a setup where uncertain outcomes are modeled by bounded random variables. In this paper, we study such risk measures on Orlicz hearts. This includes coherent, convex, and monetary risk measures on Lp‐spaces for 1 ≤p

Date: 2009
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