Subgradients of law-invariant convex risk measures on L

Svindland Gregor

Statistics & Risk Modeling, 2009, vol. 27, issue 02, 169-199

Abstract: We introduce a generalised subgradient for law-invariant closed convex risk measures on L1 and establish its relationship with optimal risk allocations and equilibria. Our main result gives sufficient conditions ensuring a non-empty generalised subgradient.

Keywords: equilibria; generalised subgradients; law-invariant convex risk measures; optimal capital and risk allocations (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:27:y:2009:i:2:p:169-199:n:4

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DOI: 10.1524/stnd.2009.1040

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